Loading presentation...

Present Remotely

Send the link below via email or IM


Present to your audience

Start remote presentation

  • Invited audience members will follow you as you navigate and present
  • People invited to a presentation do not need a Prezi account
  • This link expires 10 minutes after you close the presentation
  • A maximum of 30 users can follow your presentation
  • Learn more about this feature in our knowledge base article

Do you really want to delete this prezi?

Neither you, nor the coeditors you shared it with will be able to recover it again.


Practical Approaches to Problems in the Financial Industry

w/ Mario Morales @ PyGotham 2014 - GitHub at: https://github.com/risk

Andy Fundinger

on 21 August 2014

Comments (0)

Please log in to add your comment.

Report abuse

Transcript of Practical Approaches to Problems in the Financial Industry

End Goal
A personal risk management platform

Shows risk for each invested mutual fund
Supports/allows for reallocation
First Steps
Measuring Risk
Practical Approaches to Problems in the Financial Industry
Thank you!

Andy Fundinger

Mario Morales
Andy Fundinger

Mario Morales

In operation
This is the sort of thing that's easy to find the math for but trickier to actually do
Getting Data
Calculating Prices
Pricing Funds and Portfolios
Risk Management Systems are tools
efficiently designed and managed at
financial institutions implemented in the
world financial system.

This presentation is just a simplified view to show a practical example with the use of Python.
financial systems generally require:
holdings data
market data
computation methodologies
For a risk system we
are computing risk
Two Approaches
Simulation based on daily returns
Historic Simulation Approach
Accessing Funds
Daily returns
Historical Simulation
We can also get the market by simply using past markets
This has less assumptions and is easier to explain
This approach is required by certain regulations, especially to analyze risk in abnormal markets
Calculating Historical Var

computing value at risk means finding the value of a portfolio such that there is a specified probability that the portfolio will be worth at least this much over a given horizon.

-F.A.Q in Quantitative Finance
P. Wilmott
- olafSmits github repo, ch 9
Simulation based on daily returns
What's missing?
Distributed computing
Complex pricers
Metrics other than Var
handling for new assets
(< 1yr history)
Asset - something of value, a stock, currency, option, etc.
Holding - a quantity of an asset
Fund - a collection of holdings, like a mutual fund
Portfolio - a group of fund investments i.e. everything you own.
Full transcript