es

Provides Expected Shortfall (short: ES) of the selected stock.

Usage

es [-m] [-d {laplace,student_t,logistic,normal}] [-p PERCENTILE]

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Parameters

Name	Description	Default	Optional	Choices
use_mean	If one should use the mean of the stocks return	False	True	None
distributions	Distribution used for the calculations	normal	True	laplace, student_t, logistic, normal
percentile	Percentile for calculations, i.e. input 99.9 equals a 99.9 Percent Expected Shortfall	99.9	True	None

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Examples

2022 Feb 25, 06:50 (🦋) /stocks/qa/ $ es
      TSLA Expected Shortfall
┏━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━━━┓
┃       ┃ ES:     ┃ Historical ES: ┃
┡━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━━━┩
│ 90.0% │ -0.0752 │ -0.0705        │
├───────┼─────────┼────────────────┤
│ 95.0% │ -0.0885 │ -0.0932        │
├───────┼─────────┼────────────────┤
│ 99.0% │ -0.1144 │ -0.1561        │
├───────┼─────────┼────────────────┤
│ 99.9% │ -0.1444 │ -0.2106        │
└───────┴─────────┴────────────────┘

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