Computing Values at Risk

This code helps one compute values at risk (VaRs) through an Excel spreadsheet with prices data on dozens of securities (on a daily basis). Two methods (May 2023 update) are computed:

• Historical value at risk (hVaR)
• Conditional historical value at risk (c-hVaR)

What is a Value at Risk?

The Value at Risk is a statistic used in risk management to predict the greatest possible losses over a specific time frame. It is determined by 3 variables:

• Period
• Confidence level
• Size of possible loss

Three methods are used in otder to compute the VaR: the historical method (implemented in May 2023), the variance-covariance method, and the Monte-Carlo simulation.

What does this repo contain?

• A main.py file
• Two modules computing historical and conditional-historical VaRs.