Hello,
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?
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Hello,
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?
Hello @jeremy.cahill
Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?
If so please can you click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question.
Thanks,
AHS
@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.
Many thanks for this Jason. I'm looking for something more simple. Essentially I'd like to define a date range, get the daily returns (already provided in your example) and then solve for VaR. The goal would be to create a backtesting model. Any suggestions where I can look or where to start?
@jeremy.cahill there are plenty of resources on the internet - a search for python VaR will furnish you with lots of collateral - something like this perhaps https://www.interviewqs.com/blog/value_at_risk