virajvaidya / valueatriskmodels

Value at Risk (VaR) and Sharpe Ratio computations of securities on the Australian Stock Exchange (ASX).

📊 Value at Risk (VaR) Models 📈

Value at Risk (VaR) calculations of stocks on the Australian Stock Exchange (ASX).

The file AUSFINCVAR.ipynb calculates the Value at Risk of a hypothetical portfolio of the following 14 Finance stocks for an initial investment of 1 million AUD at the 95% Confidence Interval:

1. AMP Ltd.
2. Australia and New Zealand Banking Grp Ltd.
3. ASX Ltd.
4. Bendigo and Adelaide Bank Ltd.
5. Bank of Queensland Ltd.
6. Commonwealth Bank Ltd.
7. Insurance Australia Group Ltd.
8. Medibank Private Ltd.
9. Macquarie Group Ltd.
10. National Australia Bank Ltd.
11. Perpetual Ltd.
12. QBE Insurance Group Ltd.
13. Suncorp Group Ltd.
14. Westpac Banking Corporation

The file AUSONG.ipynb calculates the Value at Risk of a hypothetical portfolio of the following Energy stocks for an initial investment of 1 million AUD at the 95% Confidence Interval:

1. Origin Energy Ltd.
2. BHP Group Ltd.
3. Santos Ltd.
4. Woodside Petroleum Ltd.

The file ASX5.ipynb calculates the Value at Risk of a hypothetical portfolio of the following stocks for an initial investment of 1 million AUD at the 95% Confidence Interval:

1. Afterpay Ltd.
2. Coles Group Ltd.
3. Woolworths Group Ltd.
4. Telstra Corporation Ltd.
5. Airtasker Ltd.