QuantyZen
PROJECT-08 — Value at Risk (VaR) & Expected Shortfall
RiskStatistics
Overview & Results
Historical VaR timeline.
Returns distribution.
SUMMARY
- Computed historical P&L/returns and tail metrics.
- Built daily rolling VaR and Expected Shortfall.
- Highlighted non‑Gaussian caveats and pitfalls.
- Visualized distributions and time‑series clearly.
- Exported metrics for quick audits.
Research Notebook
Full code is embedded below (nbviewer). Open in new tab: https://nbviewer.org/github/harshb2007/Quant-Portfolio/blob/main/QUANT%20PORTFOLIO/PROJECT-08-Value%20at%20Risk%20%26%20Expected%20Shortfall/PROJECT-08_-_Value_at_Risk_%28VaR%29%2C_%26_Expected_Shortfall.ipynb.