voiage.financial.risk_analysis.monte_carlo_var

monte_carlo_var

monte_carlo_var([positional or keyword] initial_value: float = None, [positional or keyword] expected_return: float = None, [positional or keyword] volatility: float = None, [positional or keyword] time_horizon: float = None, [positional or keyword] confidence_level: float = 0.95, [positional or keyword] n_simulations: int = 10000) -> float

Calculate Value at Risk using Monte Carlo simulation.

Args: initial_value: Initial portfolio value expected_return: Expected return (per time period) volatility: Volatility (standard deviation of returns per time period) time_horizon: Time horizon for VaR calculation confidence_level: Confidence level for VaR calculation (default 0.95 = 95%) n_simulations: Number of Monte Carlo simulations (default 10000)

Returns

float: Value at Risk from Monte Carlo simulation

Parameters:

• initial_value float
• expected_return float
• volatility float
• time_horizon float
• confidence_level float (default: 0.95)
• n_simulations int (default: 10000)

Returns: float