I need to calculate the component VaR with this data using the norm$\_$weight for the portfolio weight and the return series for the returns of each security. This is a sample $($dummy$)$ data so it only contains return$\_0$ to return$\_6.$ the real dataset will contain return$\_0$ to return$\_255.$ The component VaR is defined as:

dollar component VaR $($$VaR $)=$ NZ$\backslash$alpha $\backslash$sigma $=$ sum of i$=1$ NZ$\backslash$alpha wi$($cov$\_$matrix w$/\backslash$sigma $)$ where NZ is the normal distribution and Z score and alpha is at $97\mathrm{.}5$ level, w is the weight, i is at ith security. sigma is the volatility.

please give the solution in Python. Thank you