DQTools
VaR & ES in a Jupyter Notebook
Value-at-risk is a statistical measure of the riskiness of a portfolio of assets. It is defined as the maximum amount expected to be lost over a given time horizon, at a pre-defined confidence level. Expected shortfall, an alternative risk measure, aims at mitigating some of VAR’s flaws. Expected shortfall is defined in a similar manner to VAR, but instead of taking the 95% confidence value, we take the mean of the losses over the 5% from 95% to 100%. This mitigates, to a large extent, the 'fat-tails' flaw of VAR.
This video demonstrates how to calculate a simple Historic VaR and Expected Shortfall in a Python Jupyter Notebook using DQTools.
Scenario Analysis in Google Sheets
The DQTools analytics library is available in both Google Sheets and Microsoft Excel. You have access to all the standard reports, with your own or with live positions and market data. You can easily define your own pivot tables and graphs to produce custom reports for your own needs.
In this video, we demonstrate how you can build your own scenario analysis tool showing the impact of market moves on your portfolio.