Value at Risk Model using Eikon API and Python

jeremy.cahill

Hello,

I'm looking to build a value at risk model using Eikon API and Python. My first question is whether you have something off the shelf I can review? Assuming no, how can I pull the daily returns?

jason.ramchandani01

@jeremy.cahill I recently wrote an article (jupyter notebook available as well) on portfolio optimisation using the Eikon Data API and a recent library called mlfinlab - I know that this library has VaR, CVaR & CDaR baked in. I hope this can help.

jeremy.cahill

Many thanks for this Jason. I'm looking for something more simple. Essentially I'd like to define a date range, get the daily returns (already provided in your example) and then solve for VaR. The goal would be to create a backtesting model. Any suggestions where I can look or where to start?

jason.ramchandani01

@jeremy.cahill there are plenty of resources on the internet - a search for python VaR will furnish you with lots of collateral - something like this perhaps https://www.interviewqs.com/blog/value_at_risk