okama.Portfolio.get_cvar_historic
- Portfolio.get_cvar_historic(time_frame=12, level=1)
Calculate historic Conditional Value at Risk (CVAR, expected shortfall) for the portfolio.
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 (12 months)
Time period size in months
- levelint, default 1
Confidence level in percents to calculate the VaR. Default value is 1% (1% quantile).
- Returns:
- Float
Historic Conditional Value at Risk (CVAR, expected shortfall) value for the portfolio.
Examples
>>> x = ok.Portfolio(['USDEUR.FX', 'BTC-USD.CC'], last_date='2021-01') >>> x.get_cvar_historic(time_frame=2, level=1) 0.3566909250442616