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Changing VaR and CVaR quantiles

VaR quantiles often used are 90%, 95%, and 99%, corresponding to the worst 10%, 5%, and 1% of cases respectively. These same quantiles are also often used for CVaR. Note that CVaR will always be a more extreme estimate when compared with VaR for the same quantile.

Compare the VaR vs CVaR values for USO ETF returns below.

Returns data is available (in percent) in StockReturns_perc. We also calculated var_95, cvar_95, var_99, cvar_99 and defined a function plot_hist() that compares several quantiles for you.

This exercise is part of the course

Introduction to Portfolio Risk Management in Python

View Course

Exercise instructions

  • Calculate the VaR(90) for StockReturns_perc and save the result in var_90.
  • Calculate the CVaR(90) for StockReturns_perc and save the result in cvar_90.

Hands-on interactive exercise

Have a go at this exercise by completing this sample code.

# Historical VaR(90) quantiles
var_90 = ____(StockReturns_perc, ____)
print(var_90)

# Historical CVaR(90) quantiles
cvar_90 = ____
print(cvar_90)

# Plot to compare
plot_hist()
Edit and Run Code