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?
@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.