Python_Portfolio__VaR_Tool

Python-based risk management tool which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics and many other risk/return characteristics both on an individual stock and portfolio-basis, stand-alone and vs. a benchmark of choice (constructed with wxPython)

This wxPython Notebook-app / widget allows one to retrieve stock / index data from Yahoo Finance through Pandas Datareader which are in turn combined with initial portfolio weights and a benchmark of choice to calculate the following risk / return metrics:

• Historic returns (annual & daily - both an individual stock-, benchmark- and portfolio basis)

• Historic standard deviation of returns (annual & daily - both an individual stock-, benchmark- and portfolio basis)

• Annual Sharpe ratios (both an individual stock-, benchmark- and portfolio basis)

• Beta's (both an individual stock-, benchmark- and portfolio basis)

• Ex-post tracking error vs. the benchmark of choice

• Daily return histograms on an individual stock- and portfolio basis

• Indexed performance charts on an individual stock- and portfolio basis

• 5% (daily) Historical Simulation Value-at-Risk (VaR) on an individual stock- and portfolio basis

• 5% (daily) Variance-Covariance Value-at-Risk (VaR) on an individual stock- and portfolio basis

• 5% (daily) Monte Carlo simulated (along Geometric Brownian Motion) Value-at-Risk (VaR) on an individual stock basis

• stock return correlation heatmap

In addition, the data retrieved from Yahoo Finance can be exported in CSV-format through the checkbox on the MainFrame.

Screenshot MainFrame

Please note - this app requires the following packages / modules in order to function properly:

• Python 3.5.1
• wxPython 4.0.0b2
• Matplotlib
• Pandas
• WxLibPubSub
• Numpy and Scipy
• yfinance

Screenshot Value-at-Risk data

Screenshot Descriptive Data

Screenshot Correlation heatmap