Value at risk (VaR) is a measure of the risk of loss for investments. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. The method presented in this post is suitable for calculating the VaR in a normal market condition. More advanced approaches such as Expected Tail Loss have been developed that can better take into account the tail risk.
http://tech.harbourfronts.com/risk-management/value-risk-financial-risk-management-python/
