It has been a while since my last blog post Moving Towards Real Time Calculation of VaR – Real Time VaR Part 4 because I was in my final semester to complete my degree. We successfully finished the project on time and it will be merged into the main repository in near future (after which [...]

# Category: Final Year Project

## Moving Towards Real Time Calculation of VaR – Real Time VaR Part 4

A quick recap from my last blog post “Moving towards Real Time Calculation of VaR – Real Time VaR Part 3”: I discussed about the technical background of the project. In doing so I explained the structure of a basic Siddhi query, the types of extensions provided in WSO2 Data Analytics Server, and the Siddhi [...]

## Moving Towards Real Time Calculation of VaR – Real Time VaR Part 3

So far in this blog posts series, I discussed about the project and the 3 most commonly used methods to calculate VaR for a given portfolio. A portfolio is a collection of assets. Today in my blog, I describe the technical background of the project. The 3 methods were required to be implemented as some [...]

## Moving Towards Real Time Calculation of VaR – Real Time VaR Part 2

This blog post will continue the discussion I started regarding the Final Year Project I am doing with 3 other undergraduates. I describe the three most commonly used methods to calculate Value at Risk (VaR). They are; Historical Simulation Method Parametric or Variance-Covariance Method Monte Carlo Simulation VaR is normally calculated for a given portfolio. [...]

## Moving Towards Real Time Calculation of VaR – Real Time VaR Part 1

At present I am a final year undergraduate of Department of Computer Science and Engineering at University of Moratuwa, Sri Lanka. As a part of my degree program, I am doing a reasearch and development project together with 3 other collegues on the topic “Real time calculation and prediction of VaR”. I am yearning to [...]