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Learn Challenge: Calculate and Visualize Portfolio VaR | Advanced Analysis and Automation for Investors
Python for Investors
Sectionย 3. Chapterย 7
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bookChallenge: Calculate and Visualize Portfolio VaR

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Task

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You are given an array of daily portfolio returns and a confidence level. Your task is to:

  • Complete the calculate_var function to compute the Value at Risk (VaR) at the specified confidence level using the historical method (percentile approach).
  • Complete the plot_var function to display a histogram of the returns and clearly indicate the VaR threshold on the plot.
  • Ensure that the VaR is returned as a positive float value.
  • Use only the libraries provided above.

The code provided includes sample portfolio returns and a confidence level. You should only modify the two functions indicated above.

Solution

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Sectionย 3. Chapterย 7
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