VaR vs. CVaR: A Python Reproduction

📰 Medium · Python

Learn to compare VaR and CVaR using Python, understanding their differences and applications in risk management

intermediate Published 18 Jul 2026

Action Steps

Run a Monte Carlo simulation to estimate VaR and CVaR using Python
Compare the results of VaR and CVaR to understand their differences
Apply the subadditivity violation concept to evaluate the coherence of VaR and CVaR
Analyze the impact of the FRTB regulatory shift on VaR and CVaR
Access and utilize open-source code for VaR and CVaR calculations

Who Needs to Know This

Quantitative analysts and risk managers can benefit from this lesson to improve their understanding of VaR and CVaR, and apply it to their work in financial institutions

Key Insight

💡 VaR and CVaR are different risk measures, with CVaR being more sensitive to extreme losses and providing a more comprehensive view of risk

Key Takeaways

Learn to compare VaR and CVaR using Python, understanding their differences and applications in risk management

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Title: VaR vs. CVaR: A Python Reproduction

URL Source: https://medium.com/@alpha.stochastic.research/var-vs-cvar-a-python-reproduction-66151a34e8fa?source=rss------python-5

Published Time: 2026-07-18T08:01:04Z

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1. [Step 1: Monte Carlo Simulation and Estimator Stability](https://medium.com/?source=post_page-----66151a34e8fa---------------------------------------#424f "Step 1: Monte Carlo Simulation and Estimator Stability")
2. [The Results:](https://medium.com/?source=post_page-----66151a34e8fa---------------------------------------#4847 "The Results:")
3. [Step 2: The Subadditivity Violation (Mathematical Coherence)](https://medium.com/?source=post_page-----66151a34e8fa---------------------------------------#9aa0 "Step 2: The Subadditivity Violation (Mathematical Coherence)")
4. [The Results:](https://medium.com/?source=post_page-----66151a34e8fa---------------------------------------#6836 "The Results:")
5. [Step 3: The FRTB Regulatory Shift](https://medium.com/?source=post_page-----66151a34e8fa---------------------------------------#f5cb "Step 3: The FRTB Regulatory Shift")
6. [The Results:](https://medium.com/?source=post_page-----66151a34e8fa---------------------------------------#ca30 "The Results:")
7. [Access the Open-Source Code](https://medium.com/?source=post_page-----66151a34e8fa---------------------------------------#825d "Access the Open-Source Code")

Quantitative Finance

Risk Management

Python

Financial Engineering

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# VaR vs. CVaR: A Python Reproduction

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VaR vs. CVaR: A Python Reproduction

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