voiage.financial.risk_analysis
Financial risk analysis components for Value of Information analysis.
Functions
Section titled “Functions”- calculate_value_at_risk Calculate Value at Risk (VaR) for a portfolio or investment.
- calculate_conditional_value_at_risk Calculate Conditional Value at Risk (CVaR) or Expected Shortfall.
- calculate_sharpe_ratio Calculate Sharpe ratio for portfolio or investment performance.
- monte_carlo_var Calculate Value at Risk using Monte Carlo simulation.
- stress_testing Perform stress testing on portfolio returns under different scenarios.