okama.AssetList.get_cvar_historic

AssetList.get_cvar_historic(time_frame=12, level=1)

Calculate historic Conditional Value at Risk (CVAR, expected shortfall) for the assets with a given timeframe.

CVaR is the average loss over a specified time period of unlikely scenarios beyond the confidence level. Loss is a positive number (expressed in cumulative return). If CVaR is negative there are expected gains at this confidence level.

Parameters:

time_frameint, default 12

Time period size in months

levelint, default 1

Confidence level in percents to calculate the VaR. Default value is 1% (1% quantile).

Returns:

Series

CVaR values for each asset in form of Series.

See also

risk_monthly

Calculate montly risk for each asset.

risk_annual

Calculate annualized risks.

semideviation_monthly

Calculate semideviation monthly values.

semideviation_annual

Calculate semideviation annualized values.

get_var_historic

Calculate historic Value at Risk (VaR).

drawdowns

Calculate drawdowns.

Examples

>>> x = ok.AssetList(['SPY.US', 'AGG.US'])
>>> x.get_cvar_historic(time_frame=60, level=1)
SPY.US    0.2574
AGG.US   -0.0766
dtype: float64
Name: VaR, dtype: float64