Value at Risk (VAR) in Python under 25 lines of code [You MISS, You LOSE]🔴

[@FinancialProgrammingwithRitvik]

𝐓𝐢𝐩 𝐦𝐞
by:
buying me a coffee in US Dollars: www.buymeacoffee.com/fpritvikusd
buying me a coffee in Euros: www.buymeacoffee.com/fpritvik

[@WorldWideSk8boarding]

I challenge you to do it with log returns (without making a mistake), ill buy you a coffee and a muffin.

[@Kesava.A]

Finally found great content.
Thankyou so much sharing this amazing content with us ❤

[@FinancialProgrammingwithRitvik]

Thanks for your kind words.

[@pankidan]

Keep up the good work! Alternate method for port_std
Port_variance = np.transpose(weights)@cov_matrix@weights
Port_std = np.sqrt( Port_variance )

[@FinancialProgrammingwithRitvik]

Thanks.

[@talhapanjutha3692]

Great , first time I think I understood python 🐍.. thanks sir

[@FinancialProgrammingwithRitvik]

Wow... I am glad to know that :)

[@vardhan7885]

I just saw your video suggestion on LinkedIn
After the moment i saw your video
i was pretty excited after watching there were very few who code financials
Keep going

[@FinancialProgrammingwithRitvik]

Thank you so much for your appreciation :)

[@julesmodolo1072]

you are the boss my friend, thanks a lot for this

[@FinancialProgrammingwithRitvik]

Thanks :)

[@praveenarsekar4610]

Really Valuable teachings and materials.

[@FinancialProgrammingwithRitvik]

Glad you think so!

[@coolcatool]

Great channel , was searching for this type of content for Ages!

[@FinancialProgrammingwithRitvik]

Welcome aboard!

[@andrewlin4587]

great video, good to learn

[@FinancialProgrammingwithRitvik]

Thanks :)

[@AVAM..]

awesome explained, thank You Ritvik

[@FinancialProgrammingwithRitvik]

My pleasure.

[@nastrimarcello]

You're a really good teacher

[@FinancialProgrammingwithRitvik]

Thank you for your appreciation :)

[@sz8558]

Just came across your channel...V nice! I see Likes >200...looking forward to searching for CVaR and Monte Carlo menthods ;)

[@FinancialProgrammingwithRitvik]

O yes, Noted

[@alexandremachado2515]

Great job, mate! Thanks for sharing, it is very useful

[@FinancialProgrammingwithRitvik]

Glad it was helpful!

[@pankidan]

Nice analysis ! Please keep up the good work.

[@FinancialProgrammingwithRitvik]

Thank you

[@arpsami7797]

tanx. very helpfull. want to see the EWMA

[@FinancialProgrammingwithRitvik]

Noted!

[@nikolarudjer5330]

Great video with clear explanation

[@FinancialProgrammingwithRitvik]

Thanks :)

[@babarahmad3936]

Amazing stuff bro!

[@FinancialProgrammingwithRitvik]

glad you liked.

[@DogLover4EverOK]

Thank you great job I really appreciate it!

[@FinancialProgrammingwithRitvik]

My pleasure!

[@j3bronlames211]

I think 95% should be the confidence level, and 5% should be called the significance level. But thank you for the video!

[@FinancialProgrammingwithRitvik]

My bad

[@suritchakraborty9055]

Amazing Please cover a detailed session on Cvar and Monte Carlo Simulation.
Please

[@FinancialProgrammingwithRitvik]

I will cover CVaR soon. I have made a video on Monte Carlo Simulation of VaR... it's here ruclips.net/video/11YDPyTGMnc/видео.html

[@ranjaypopli7367]

Very helpful
thank you!

[@FinancialProgrammingwithRitvik]

Glad it was helpful!

[@FinancialProgrammingwithRitvik]

How to Calculate VaR of Stock Portfolio in Python

[@sunilkalyanamancha7283]

Excellent

[@FinancialProgrammingwithRitvik]

Thanks :)

[@abhishekparmar4429]

Awesome video, sir! Please make the video for CVaR and Monte Carlo! Eagerly waiting for it!

[@FinancialProgrammingwithRitvik]

Noted!

[@bsbs1986]

many thanks.. this is amazing
can u pls share video link to cvar / expected shortfall

[@FinancialProgrammingwithRitvik]

Noted! THANKS :)

[@yashrajsharma1041]

Bro you are great

[@FinancialProgrammingwithRitvik]

Thank you.

[@mp69420]

Thanks!

[@FinancialProgrammingwithRitvik]

My pleasure

[@j0shm0o1]

Great video

[@FinancialProgrammingwithRitvik]

Thanks for the visit

[@harinath624]

Hello sir, thanks a lot providing helpful video to us...
How do take HP Screen shot to using python in bloomberg..

[@FinancialProgrammingwithRitvik]

Sorry, I couldn't understand your question. Please elaborate

[@MANOJ-fz4ku]

Sir,how to append aroon values in bitcoin trading bot?

[@FinancialProgrammingwithRitvik]

Please refer your comment on this video ruclips.net/video/KYQisveoOMQ/видео.html

[@10nikoolas]

Nice video, really useful.
Could you please make an example of a graph showing the days in which the VaR level was exceeded.

[@FinancialProgrammingwithRitvik]

Noted! Next video on VAR, whenever I post, will incoporate it. Thanks for the suggestion. :)

[@vigneshwarsubramanian3806]

Can you build code for expected credit loss model

[@FinancialProgrammingwithRitvik]

I will try

[@aarohik3894]

Loved it

[@FinancialProgrammingwithRitvik]

THANKS :)

[@SwetaKumari-cz4bo]

good content
Thanks

[@FinancialProgrammingwithRitvik]

Thank you so much for your appreciation :)

[@kurdokurdi9657]

thank yo for the video, can you make a video of EMA crossover, thanks

[@FinancialProgrammingwithRitvik]

Noted! :)

[@aashajawaharlal4855]

👏👏👏👏

[@FinancialProgrammingwithRitvik]

Thanks for the appreciation :)

[@annawilson3824]

Hello Ritvik, when do you plan to have the next video on Talib? Everyone is waiting ;)

[@FinancialProgrammingwithRitvik]

Very soon. I will upload. I had some videos lined up to put :)

[@kin.derivative.research]

thanks man

[@gokhalesadan]

helpful

[@FinancialProgrammingwithRitvik]

I am glad to know that :)

[@veeraphatkaewsawang7814]

Hi Ritvik, Thank you very much for this helpful content!
I have a question after running the code.
Why does the value keep changing each time I run the code even for "port_mean", which is supposed to stay the same?
Condition: Aftermarket, so the price should stay the same...and hence the port_mean?
My result:
Run#1 port_mean = 0.0005365387402583156
Run#2 port_mean = 0.0005365387745866672
Run#3 port_mean = 0.0005365387745329687

[@fatman561]

its just because computers are not that accurate at floating point calculations so just consider values till like 4 digits after decimal

[@snehmishra7791]

Thanks

[@FinancialProgrammingwithRitvik]

Thanks for the appreciation :)

[@teacher2414]

Where can I find the source code of the youtube videos? br ka

[@FinancialProgrammingwithRitvik]

Please follow the steps mentioned here: ruclips.net/channel/UCyMifqUrSntvvrrGMaVPkrwcommunity?lb=UgwZRm2WrR2BqVk_ho54AaABCQ

[@420archives]

CVar video plssssss. it has corssed 200 likes u promised. bless

[@abdelmounaimhourmatallah4238]

hello thank u for the clarifications
when i reach the matrix mulptiplication step i get this error
ValueError Traceback (most recent call last)
Input In [105], in ()
----> 1 port_mean = avg_returns @ weights
2 port_std = np.sqrt(weights.T @ cov_matrix @ weights)
File ~\anaconda3\lib\site-packages\pandas\core\series.py:2829, in Series.__matmul__(self, other)
2825 def __matmul__(self, other):
2826 """
2827 Matrix multiplication using binary `@` operator in Python>=3.5.
2828 """
-> 2829 return self.dot(other)
File ~\anaconda3\lib\site-packages\pandas\core\series.py:2821, in Series.dot(self, other)
2819 return np.dot(lvals, rvals)
2820 elif isinstance(rvals, np.ndarray):
-> 2821 return np.dot(lvals, rvals)
2822 else: # pragma: no cover
2823 raise TypeError(f"unsupported type: {type(other)}")
File :5, in dot(*args, **kwargs)
ValueError: data type must provide an itemsize

[@FinancialProgrammingwithRitvik]

It is difficult to understand it here. I recommend you to get the code from my google drive and try it again.

[@kavindusathsara6443]

Do about the Binary.com API

[@FinancialProgrammingwithRitvik]

Noted!

[@johnbhai3462]

import json
a = {'language' : 'hindi', 'fills' : [{'price' : '10', 'qty' : '10'}]}
Brother here how to get price value

[@FinancialProgrammingwithRitvik]

I couldn't understand the question

[@joker2117-f5v]

Did you make a mistake? For 95.5% , Z should be 1.7

[@FinancialProgrammingwithRitvik]

95.5% confidence interval has z value of 2. I think you got confused by percentile.

[@joker2117-f5v]

@@FinancialProgrammingwithRitvik I checked the z table, it should be 1.7, right?

[@joker2117-f5v]

@@FinancialProgrammingwithRitvik for 95%, z is 1.65, how can 95.5% become 2?

[@FinancialProgrammingwithRitvik]

@@joker2117-f5v you're referring to percentiles... Please check this out: www.mathsisfun.com/data/confidence-interval.html

[@joker2117-f5v]

@@FinancialProgrammingwithRitvik THX

[@Luca-wg4cv]

Dott. what is @ ?

[@FinancialProgrammingwithRitvik]

Sorry couldn't understand

[@Luca-wg4cv]

@@FinancialProgrammingwithRitvik what rappresent in python the simbol @?

[@prashantmitra3859]

Great video

[@FinancialProgrammingwithRitvik]

Thanks :)

[@VIJAYVIJAY-vg9gt]

Great video

[@FinancialProgrammingwithRitvik]

My pleasure :)

[@manishvijay2352]

Great Video

[@FinancialProgrammingwithRitvik]

My pleasure :)

[@ayushshubhamrocks]

great video

[@FinancialProgrammingwithRitvik]

Thanks for the visit