Learn how to calculate Value at Risk (VaR) to effectively assess financial risks in portfolios, using historical, variance-covariance, and Monte Carlo methods.

Calculating variance is easy using Python. Before diving into the Python code, I’ll first explain what variance is and how you can calculate it.

Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Value-at-Risk Bounds With Variance Constraints, The Journal of Risk and Insurance, Vol. 84, No. 3 (September 2017), pp. 923-959 ...

This paper aims to evaluate the performance of different value-at-risk (VaR) calculation methods, allowing us to identify models that are valid for use in emerging markets. We apply several widely ...

ABSTRACT Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially ...

There are three methods of calculating Value at Risk (VaR), including the historical method, the variance-covariance method, and the Monte Carlo simulation. 2 ...