Hi Camile,
I built the original pyfolio model and also initially had the VaR with an uncertainty estimate like you have here, but it was confusing to people so I changed it. In any case, I think your approach makes sense.
It seems like your nu parameter is bumping against the upper limit. @aseyboldt had a nice trick to model nu: BoundNormal = pm.Bound(pm.Normal.dist, lower=5); nu = BoundNormal('nu', mu=7, sd=2). That way nu is never below 5 and centered (roughly) around 7 and not constrained above.
Best,
Thomas