Moving Towards Real Time Calculation of VaR – Real Time VaR Part 5

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 [...]

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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 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 [...]