Struct ExpectedShortfall 

pub struct ExpectedShortfall { /* private fields */ }

Calculates the historical Expected Shortfall (Conditional Value at Risk) of portfolio returns.

Expected Shortfall is the average of the losses that occur beyond the ValueAtRisk threshold at a given confidence level - the mean of the worst 1 - confidence tail of the return distribution. It is a coherent risk measure and captures tail severity that VaR alone does not.

ES(c) = mean( r | r <= VaR(c) )

confidence defaults to 0.95. The result is expressed as a return (e.g. -0.05 is a 5% expected tail loss); it is always less than or equal to the corresponding VaR. Returns NaN for an empty series.

References

• Acerbi, C., & Tasche, D. (2002). “Expected Shortfall: A Natural Coherent Alternative to Value at Risk”. Economic Notes, 31(2), 379-388.
• Rockafellar, R. T., & Uryasev, S. (2000). “Optimization of Conditional Value-at-Risk”. Journal of Risk, 2(3), 21-41.

Implementations

impl ExpectedShortfall

pub fn new_checked(confidence: Option<f64>) -> Result<Self>

Creates a new checked ExpectedShortfall instance.

Errors

Returns an error if confidence is not finite and in the range (0, 1).

pub fn new(confidence: Option<f64>) -> Self

Creates a new ExpectedShortfall instance.

Panics

Panics if confidence is not finite and in the range (0, 1).

Trait Implementations

impl Clone for ExpectedShortfall

fn clone(&self) -> ExpectedShortfall

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for ExpectedShortfall

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Display for ExpectedShortfall

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl PortfolioStatistic for ExpectedShortfall

type Item = f64

fn name(&self) -> String

Returns the name of this statistic for display and identification purposes.

fn calculate_from_returns(&self, raw_returns: &Returns) -> Option<Self::Item>

Calculates the statistic from time-indexed returns data.

fn calculate_from_realized_pnls( &self, _realized_pnls: &[f64], ) -> Option<Self::Item>

Calculates the statistic from realized profit and loss values.

fn calculate_from_positions( &self, _positions: &[Position], ) -> Option<Self::Item>

Calculates the statistic from position data.

fn calculate_from_orders( &self, orders: Vec<Box<dyn Order>>, ) -> Option<Self::Item>

Calculates the statistic from order data.

fn calculate_from_returns_with_benchmark( &self, returns: &Returns, benchmark: &Returns, ) -> Option<Self::Item>

Calculates the statistic from time-indexed strategy returns relative to a benchmark.

fn align_returns(&self, a: &Returns, b: &Returns) -> (Vec<f64>, Vec<f64>)

Aligns two returns series onto a common daily grid.

fn check_valid_returns(&self, returns: &Returns) -> bool

Validates that returns data is not empty.

fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns

Downsamples high-frequency returns to daily bins by geometric compounding.

fn calculate_std(&self, returns: &Returns) -> f64

Calculates the standard deviation of returns with Bessel’s correction.