A Value at Risk function, which takes list of two tickers, alpha, their weights, start and end dates and calculates the summary stats, skewness and kurtosis for the stocks. Provides Historical and Parametric VaR and TVaR for portfolio. The input from the tickers is also given in excel file.
Created a Value at Risk calculation function, which takes list of two tickers, alpha, their weights, start and end dates and calcualtes the summary stats, skewness and kurtis for the stocks. It also give Historical and Parametric VaR and TVaR for portfolio. The input from the tickers is also given in excel file.
A Value at Risk function, which takes list of two tickers, alpha, their weights, start and end dates and calculates the summary stats, skewness and kurtosis for the stocks. Provides Historical and Parametric VaR and TVaR for portfolio. The input from the tickers is also given in excel file.