Crypto Portfolio VaR Model

This Python script calculates the 5-day Value at Risk (VaR) for a cryptocurrency portfolio using historical price data from Yahoo Finance. The assets in the portfolio include Bitcoin (BTC), Solana (SOL), and Ethereum (ETH).

📊 Portfolio Allocation

• BTC: 75%
• SOL: 10%
• ETH: 15%
• Portfolio Value: $100,000

🧠 Methodology

• Fetches 12 years of daily historical data
• Computes log returns for each asset
• Aggregates rolling 5-day returns
• Uses historical simulation to estimate the 95% VaR

💡 Value at Risk (VaR)

The model calculates the worst-case expected loss over the next 5 days with 95% confidence.

🛠 Requirements

• Python 3.x
• pandas
• numpy
• yfinance
• colorama

📦 Use Cases

1. Portfolio Risk Management: Understand short-term risk in volatile crypto assets.
2. Capital Allocation: Adjust asset weights based on acceptable downside.
3. Backtesting: Compare different portfolio compositions over historical market behavior.

Might add inputs for more flexibility and better UX.

• vythea ✷