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.
Deze oefening maakt deel uit van de cursus
Introduction to Portfolio Risk Management in Python
Oefeninstructies
- Use the
.append()method to append therand_retstosim_returnslist in each iteration. - Calculate the parametric VaR(99) using the
np.percentile()function onsim_returns.
Praktische interactieve oefening
Probeer deze oefening eens door deze voorbeeldcode in te vullen.
# Aggregate the returns
sim_returns = []
# Loop through 100 simulations
for i in range(100):
# Generate the Random Walk
rand_rets = np.random.normal(mu, vol, T)
# Save the results
sim_returns.____
# Calculate the VaR(99)
var_99 = ____
print("Parametric VaR(99): ", round(100*var_99, 2),"%")