Pablo Sánchez psanchezc23
psanchezc23
/ var_or_es.py
Created
September 20, 2018 07:55
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| # Importing libraries | |
| from pandas_datareader import data as pdr | |
| # Defining general variables | |
| ticker = 'SPY' | |
| first_date = '2010-01-01' | |
| last_date = '2018-08-31' | |
| conficence_level = 0.05 | |
| k = 0.02 |
psanchezc23
/ value_at_risk.py
Created
September 19, 2018 16:34
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| def value_at_risk(returns, confidence_level=.05): | |
| """ | |
| It calculates the Value at Risk (VaR) of some time series. It represents | |
| the maximum loss with the given confidence level. | |
| Parameters | |
| ---------- | |
| returns : pandas.DataFrame | |
| Returns of each time serie. It could be daily, weekly, monthly, ... | |
psanchezc23
/ expected_shortfall.py
Created
September 14, 2018 12:28
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| def expected_shortfall(returns, confidence_level=.05): | |
| """ | |
| It calculates the Expected Shortfall (ES) of some time series. It represents | |
| the average loss according to the Value at Risk. | |
| Parameters | |
| ---------- | |
| returns : pandas.DataFrame | |
| Returns of each time serie. It could be daily, weekly, monthly, ... | |