Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)

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Empirical Analysis of Value at Risk (VaR) of Stock Portfolio Based on Python

Authors
Shengyuan Lu1, *
1Soochow Business School, Soochow University, Soochow, China
*Corresponding author. Email: 1910503084@stu.suda.edu.com
Corresponding Author
Shengyuan Lu
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_80How to use a DOI?
Keywords
Python; Jupyter Notebook; Berkshire Hathaway; Value at Risk (VaR); Variance - covariance VaR method; Portfolio risk
Abstract

This paper mainly introduces the financial sector is widely acclaimed VaR risk quantitative analysis method, VaR method (Value at Risk), known as value-at-risk model, is often used in the risk management of financial institutions. We select and download the data of four stocks (APPL, BAC, AXP, KO) which the company Berkshire Hathaway had heavy position in. Then according to the shareholding ratio released in its quarterly statement, we build the corresponding weights of portfolio. In this paper, we estimate Value at Risk (VaR) by the method of the simple variance - covariance VaR method. On the assumption that the sample data obey the normal distribution, the simple VAR method is used to get the reliable value of risk, and the prediction made by the value of risk can better estimate the risk which has an important practical guiding significance for the risk management of securities investment.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
Series
Advances in Computer Science Research
Publication Date
29 December 2022
ISBN
978-94-6463-042-8
ISSN
2352-538X
DOI
10.2991/978-94-6463-042-8_80How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Shengyuan Lu
PY  - 2022
DA  - 2022/12/29
TI  - Empirical Analysis of Value at Risk (VaR) of Stock Portfolio Based on Python
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 559
EP  - 567
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_80
DO  - 10.2991/978-94-6463-042-8_80
ID  - Lu2022
ER  -