Python-based risk management tool which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics and many other risk/return characteristics both on an individual ...
Key observation: The COVID crash delivered a 40% loss in 22 trading days. The daily 95% VaR at the time was ~$27,000. The crisis loss was approximately 15x the daily VaR estimate — illustrating ...
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