financialkit.risk#
Historical, parametric, Cornish-Fisher, Monte Carlo, hybrid and filtered VaR, safety first, expected shortfall and coherence, Euler allocation, extreme value theory, VaR backtests, copulas and tail dependence, and drawdowns.
History
The foundational breakthroughs behind this subpackage, linked to the implementation.
Examples
Runnable tutorials and the full example gallery.
API reference
Every public class and function.