Monte Carlo Methods for Risk Management: VaR Estimation in Python

Andrea Chello
The Quant Journey
Published in
9 min readMay 16, 2022

Source: https://www.researchgate.net/figure/Illustration-of-the-Expected-Shortfall-metric_fig2_322701819

1. Value at Risk

Risk Metrics

A technique for quantifying the risk in a portfolio is known as a risk metric. This gives us a way of numerically describing the amount of uncertainty in that portfolio.

  • Examples: Volatility/Variance and Correlation which give an idea of the extent to…