4 ms·
Python code to match the article: from statistics import NormalDist def var(nd): 'Value at risk' return nd.stdev - nd.mean safe =
by mont_tag 2y ago
Python code to match the article:
from statistics import NormalDist
def var(nd):
'Value at risk'
return nd.stdev - nd.mean
safe = NormalDist(5, 3)
bold = NormalDist(9, 10)
shock = NormalDist(-5, 10)
print('Safe: %s\tBold: %s\tBaseline' % (var(safe), var(bold)))
print('Safe: %s\tBold: %s\tConstant shock' % (var(safe - 5), var(bold - 5)))
print('Safe: %s\tBold: %s\tUncorrelated shock' % (var(safe + shock), var(bold + shock)))
print('Safe: %s\tBold: %s\tCorrelated shock' % (var(safe * 2), var(bold *2)))