January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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How it works...
In Steps 2 to 4, we downloaded the daily stock prices of Google and Facebook, extracted the adjusted close prices, and converted them into simple returns. We also defined a few parameters, such as the number of simulations and the number of shares we have in our portfolio.
There are two ways to approach VaR calculations:
- Calculate VaR from prices: Using the number of shares and the asset prices, we can calculate the worth of the portfolio now and its possible value X days ahead.
- Calculate VaR from returns: Using the percentage weights of each asset in the portfolio and the assets' expected returns, we can calculate the expected portfolio return X days ahead. Then, we can express VaR as the dollar amount based on that return ...
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