voiage.financial.risk_analysis.calculate_conditional_value_at_risk

calculate_conditional_value_at_risk

calculate_conditional_value_at_risk([positional or keyword] returns: np.ndarray | list[float] = None, [positional or keyword] confidence_level: float = 0.95) -> float

Calculate Conditional Value at Risk (CVaR) or Expected Shortfall.

Args: returns: Array of historical returns or simulated returns confidence_level: Confidence level for CVaR calculation (default 0.95 = 95%)

Returns

float: Conditional Value at Risk at the specified confidence level

Parameters:

• returns np.ndarray | list[float]
• confidence_level float (default: 0.95)

Returns: float