calculate_adjusted_var
Calculates VaR, which is adjusted for skew and kurtosis (Cornish-Fischer-Expansion)
Source Code: [link]
openbb.qa.calculate_adjusted_var(kurtosis: float, skew: float, ndp: float, std: float, mean: float)
Parameters
| Name | Type | Description | Default | Optional |
|---|---|---|---|---|
| kurtosis | float | kurtosis of data | None | False |
| skew | float | skew of data | None | False |
| ndp | float | normal distribution percentage number (99% -> -2.326) | None | False |
| std | float | standard deviation of data | None | False |
| mean | float | mean of data | None | False |
Returns
| Type | Description |
|---|---|
| float | Real adjusted VaR |