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quantra-go-algo/Calculate_VaR.py Secret

Created November 17, 2022 04:14
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Calculate_VaR.py
# Calculate the VaR using point percentile function
VaR_90 = norm.ppf(1-0.9, mean, std_dev)
VaR_95 = norm.ppf(1-0.95, mean, std_dev)
VaR_99 = norm.ppf(1-0.99, mean, std_dev)
print (tabulate([['90%', VaR_90], ['95%', VaR_95], ['99%', VaR_99]], headers = ['Confidence Level', 'Value at Risk']))
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