Module risk 

Risk analytics: Value-at-Risk, Expected Shortfall and the surrounding toolkit, one concern per file.

• measures: VaR and ES — historical (empirical quantile / tail mean), parametric normal, Cornish-Fisher higher-moment corrected, and delta-normal multi-asset VaR with the exact Euler component/marginal decomposition;
• portfolio_risk: scenario VaR/ES for an options book (EquityPortfolio) — delta-gamma-vega-theta from the aggregated Greeks and full revaluation through the book’s repricer, on shared spot/vol scenarios so their difference isolates the Taylor error;
• volatility: realized and EWMA (RiskMetrics) estimators;
• performance: max drawdown, Sharpe and Sortino ratios;
• backtest: the Kupiec proportion-of-failures VaR backtest;
• stress: TOML-configured stress MtM — named shock scenarios (relative/absolute, per-underlying) bumped into the market data and fully revalued, reported per trade and aggregated per scenario;
• ladder: risk ladders — full revaluation on a grid of relative spot moves (ladder delta/gamma) or parallel vol shifts (ladder vega/volga) read off adjacent rungs: the non-local risk view for barrier-heavy books.

Conventions: confidence levels are one-sided (0.99), VaR/ES are positive loss amounts, and every simulation is deterministic per seed.

Re-exports

pub use backtest::kupiec_pof;

pub use backtest::KupiecTest;

pub use ladder::spot_ladder;

pub use ladder::symmetric_moves;

pub use ladder::vol_ladder;

pub use ladder::LadderPoint;

pub use ladder::SpotLadder;

pub use ladder::VolLadder;

pub use ladder::VolLadderPoint;

pub use measures::cornish_fisher_var;

pub use measures::delta_normal_var;

pub use measures::historical_expected_shortfall;

pub use measures::historical_var;

pub use measures::parametric_expected_shortfall;

pub use measures::parametric_var;

pub use measures::DeltaNormalVar;

pub use performance::max_drawdown;

pub use performance::sharpe_ratio;

pub use performance::sortino_ratio;

pub use portfolio_risk::delta_gamma_var;

pub use portfolio_risk::full_revaluation_var;

pub use portfolio_risk::PortfolioRisk;

pub use portfolio_risk::RiskConfig;

pub use stress::stress_mtm;

pub use stress::ArbitrageCheck;

pub use stress::ArbitragePolicy;

pub use stress::BumpMode;

pub use stress::RiskFactor;

pub use stress::ScenarioResult;

pub use stress::Shock;

pub use stress::StressConfig;

pub use stress::StressScenario;

pub use stress::TradeStress;

pub use volatility::ewma_volatility;

pub use volatility::realized_volatility;

Modules

backtest

VaR backtesting: the Kupiec proportion-of-failures (POF) test.

ladder

Spot risk ladders: the desk risk slide.

measures

Value-at-Risk and Expected Shortfall in the three standard flavors: historical (empirical), parametric normal (with a Cornish-Fisher higher-moment correction), and delta-normal for multi-asset books.

performance

Performance and path-risk statistics: drawdowns and risk-adjusted return ratios.

portfolio_risk

VaR and Expected Shortfall for an options book (EquityPortfolio), by scenario simulation over the underlying and its implied volatility:

stress

Stress MtM: scenario revaluation of an options book driven by a TOML shock configuration.

volatility

Volatility estimation from return series: realized (close-to-close) and EWMA (RiskMetrics).