voiage.financial.risk_analysis.calculate_value_at_risk

calculate_value_at_risk

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

Calculate Value at Risk (VaR) for a portfolio or investment.

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

Returns

float: Value at Risk at the specified confidence level

Example: >>> returns = np.random.normal(0.001, 0.02, 1000) # 1000 daily returns >>> var_95 = calculate_value_at_risk(returns, 0.95) >>> print(f“95% VaR: {var_95:.4f}”)

Parameters:

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

Returns: float