Value at Risk (VaR) Explained!
Video Overview & Insights
Ever wondered what Value at Risk (VaR) or Conditional Value at Risk (CVaR) is and how it can help you?
Thank you very much... loved the presentation, and your accent. G'dayyy mate
In this video we break down the basics of these two concepts and explain three methodologies for calculating VaR. We will begin to implement these slowly with Python!
★ ★ Code Available on GitHub ★ ★
I came for conditional VaR. It was not mentioned at all.
GitHub: https://github.com/TheQuantPy
Specific Tutorial Link: https://github.com/TheQuantPy/youtube-tutorials/blob/8e64e19629cee840928b51baf4660e5c777e87e7/2020/001%20Oct-Dec/2020-11-24%20Value%20at%20Risk%20(VaR)%20Explained!.ipynb
I don't get it. Why is the covariance matrix used? This means the stocks are not independent from each other. They are the same industry but apart from that they should not be tied together. What am I missing? Does this portray the sentiment of the market as a whole?
★ A data driven path to getting a job in Quant Finance
https://www.quantpykit.com/
helpful af
★ QuantPy GitHub
Collection of resources used on QuantPy YouTube channel. https://github.com/thequantpy
I just received an introduction to the topic and I think you did a fantastic job teaching it . I look forward to watching more videos of yours.
Disclaimer: All ideas, opinions, recommendations and/or forecasts, expressed or implied in this content, are for informational and educational purposes only and should not be construed as financial product advice or an inducement or instruction to invest, trade, and/or speculate in the markets. Any action or refraining from action; investments, trades, and/or speculations made in light of the ideas, opinions, and/or forecasts, expressed or implied in this content, are committed at your own risk an consequence, financial or otherwise.
Great job thank you very much for your videos! could you please also make a video on how to calculate the backtesting of the VaR and the CVaR?
More User Perspectives
great video
@giacomobonomelliGlad I found your channel. Keep doing stuff bro. Its about to blow.
@asdfasdfwaeCurrently completing a VaR assignment in python for my Master's
@rossprendergast6022hey Thanks for introducing solving optimisation problems with one of the most useful / interesting examples:- Optimisation of Portfolio using python. Its very informative. Now I am trying new optimisations with different cases. KEEP UP the good work...
@kobodrago