"The search for appropriate risk measuring methodologies has been followed by increased financial uncertainty worldwide. Financial turmoil and the increased volatility of financial markets have induced the design and development of more sophisticated tools for measuring and forecasting risk. The most well known risk measure is value at risk (VaR), which is defined as the maximum loss over a targeted horizon for a given level of confidence. In other words, it is an estimation of the tails of the empirical distribution of financial losses. It can be used in all types of financial risk measurement" (Julija Cerović Smolovic, 2017).
In addition to Value at Risk, the package includes Conditional Value at Risk (Expected Shortfall or CVaR) and Conditional Drawdown at Risk (CDaR).
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Release files for var 2024.3.0
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Release files / var-2024.3.0.tar.gz
| Download URL | var-2024.3.0.tar.gz |
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| Size | 20.8 kB |
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ece2e8a8dcb370ac7685f2e6651aef9f727222b3bce2afbb2613fa47f2444534
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twine/4.0.2 CPython/3.11.3
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Security for var 2024.3.0
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