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TailRiskMetrics

quant_metrics::analytics

Struct TailRiskMetrics 

Source 
pub struct TailRiskMetrics {
    pub var_95: Decimal,
    pub var_99: Decimal,
    pub cvar_95: Decimal,
    pub cvar_99: Decimal,
}
Expand description

Tail risk metrics for a portfolio.

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§var_95: Decimal

VaR at 95% confidence (historical).

§var_99: Decimal

VaR at 99% confidence (historical).

§cvar_95: Decimal

CVaR (expected shortfall) at 95% confidence.

§cvar_99: Decimal

CVaR (expected shortfall) at 99% confidence.

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