December 2024
Beginner to intermediate
505 pages
10h 54m
English
Content preview from Financial Data Analysis Using Python
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CHAPTER 8
RISK ASSESSMENT AND VOLATILITY MODELING
INTRODUCTION
This chapter explores the essentials of the financial risk assessment and volatility modeling concepts. We will begin with an overview of the principles of probability theory and its applications in volatility analysis, highlighting the role of statistical distributions such as normal distribution. Then, we shift to practically implementing these concepts, using Python to calculate and analyze value at risk (VaR) and average value at risk (aVaR). These metrics serve as vital indicators of potential financial loss, providing a quantitative framework for risk evaluation.
The chapter continues by laying out the theoretical framework for Monte Carlo simulations, which leverages randomness ...
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