financialkit.risk
=================


.. include:: /_generated/nav/risk.rst

Value at risk by historical simulation, normal and Student-t closed
forms, RiskMetrics delta-normal, the Cornish-Fisher expansion,
full-revaluation Monte Carlo through
:func:`financialkit.integrators.correlated_increments`,
Boudoukh-Richardson-Whitelaw age weighting and filtered historical
simulation; Roy's safety-first criterion; Acerbi-Tasche expected
shortfall with normal and Student-t closed forms, the coherence axioms
and Euler risk allocation; block maxima (``scipy.stats.genextreme``) and
peaks over threshold (``scipy.stats.genpareto``); Kupiec and
Christoffersen backtests and the Basel traffic light; Gaussian and t
copulas with tail dependence; drawdowns and the Calmar ratio.

.. automodule:: financialkit.risk
   :members:
   :undoc-members: