giuseppecangemi/RiskAnalysis_UniCredit

In this project I estimated the Value at Risk (VaR) and ExpectedShortfall (cVaR) of the UniCredit stock. The one I propose is, at least in the "VaR_classical_methods.py" script, the simplest classical method widely used. Instead, in the Brownian motion script, I estimated the VaR through the Montecarlo Simulation Method. Also, I did Backtesting.

VaR_UniCredit