Learn how to calculate Value at Risk (VaR) to effectively assess financial risks in portfolios, using historical, variance-covariance, and Monte Carlo methods.

If you’re wondering how to find the variance in your data set, look no further. Here’s how to calculate variance in a snap with Pandas.

We study bounds on the Value-at-Risk (VaR) of a portfolio when besides the marginal distributions of the components its variance is also known, a situation that is of considerable interest in risk ...

A new model for financial returns with time varying variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously suggested NIG ...