This project helps you analyze financial risks using Python. You will learn about Value at Risk (VaR) and Conditional VaR (CVaR). This tool also enables backtesting with three years of daily stock data.
This application is designed to facilitate portfolio risk analysis. Here are some key features:
- Value at Risk (VaR): Calculates potential losses in a portfolio.
- Conditional VaR (CVaR): Assesses average losses beyond the VaR threshold.
- Data Collection: Utilizes
yfinanceto gather stock data. - Breach Detection: Identifies instances where the actual loss exceeds VaR.
- Kupiec Backtest: Validates the accuracy of your risk predictions.
- Visualization: Displays tail risk events and relevant financial metrics.
To run this application, you will need:
- A computer with Windows, macOS, or Linux.
- Python 3.6 or higher.
- At least 4 GB of RAM.
- An internet connection for data collection.
To get the application, please visit this page to download the latest version:
Follow these steps to install:
- Click on the link above to enter the Releases page.
- Find the latest version and choose the appropriate file for your system.
- Click on the file name to begin the download.
- Once downloaded, locate the file in your Downloads folder.
- Open the file to start the installation process.
- Follow the on-screen instructions to complete the installation.
Once installed, follow these steps to analyze your portfolio:
- Open the Application: Find the icon on your desktop or in your applications folder.
- Input Your Data: Upload your stock portfolio details. The application will guide you on how to format your data.
- Run the Analysis: Click on the "Analyze" button. Wait a moment for the calculations to complete.
- View Results: Check the results for your VaR and CVaR metrics. The application will display visualizations for better understanding.
- Interpret Findings: Review the output to identify risks in your investment strategy.
This application includes various tools for a comprehensive analysis:
- Customizable Reports: Tailor reports based on your preferences.
- Historical Data Analysis: Evaluate past data trends to make informed decisions.
- User-Friendly Interface: Navigate easily with simple buttons and intuitive design.
Visualizations enhance understanding of risk. This application generates graphs for:
- Daily portfolio value.
- Risk assessments and their historical context.
- Tail risk events.
These visuals help you grasp complex financial concepts simply.
If you encounter issues:
- Installation Problems: Ensure you have the correct Python version and system requirements.
- Data Errors: Double-check the format of your stock data file.
- Application Crashes: Restart your computer and try again. If problems persist, look for updates on the Releases page.
For any questions or issues, please check the repository's Issues section. You can report any bugs or request features. Our community typically responds quickly to help.
We welcome contributions! If you're interested in improving the application, feel free to fork the project. Share your ideas or enhancements through a pull request.
This application covers various aspects of finance, including:
- Backtesting
- Financial risk analysis
- Quantitative finance
These topics are essential for anyone interested in managing investment risks effectively.
To deepen your knowledge of VaR, CVaR, and backtesting, consider referring to these resources:
- Online courses in quantitative finance.
- Books on risk management.
- Blogs and forums discussing financial analysis techniques.
Remember, understanding risk is crucial in today's financial landscape. This application aims to simplify that learning process for you.
Enjoy exploring the world of financial risks with our tool.