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  3. Introduction to Portfolio Risk Management in Python

Exercise

Monte Carlo VaR

Both the return values and the Monte-Carlo paths can be used for analysis of everything ranging from option pricing models and hedging to portfolio optimization and trading strategies.

Aggregate the returns data at each iteration, and use the resulting values to forecast parametric VaR(99).

The parameters mu, vol, T, and S0 are available from the previous exercise.

Instructions

100 XP
  • Use the .append() method to append the rand_rets to sim_returns list in each iteration.
  • Calculate the parametric VaR(99) using the np.percentile() function on sim_returns.