var
Provides value at risk (short: VaR) of the selected portfolio.
Usageโ
var [-m] [-a] [-s] [-p PERCENTILE]
Parametersโ
Name | Parameter | Description | Default | Optional | Choices |
---|---|---|---|---|---|
use_mean | -m --mean | If one should use the mean of the portfolio return | True | True | None |
adjusted | -a --adjusted | If the VaR should be adjusted for skew and kurtosis (Cornish-Fisher-Expansion) | False | True | None |
student_t | -s --student | If one should use the student-t distribution | False | True | None |
percentile | -p --percentile | Percentile used for VaR calculations, for example input 99.9 equals a 99.9 Percent VaR | 99.9 | True | None |
Examplesโ
2022 Feb 25, 03:09 (๐ฆ) /portfolio/ $ var
Portfolio Value at Risk
โโโโโโโโโณโโโโโโโโโโณโโโโโโโโโโโโโโโโโโ
โ โ VaR: โ Historical VaR: โ
โกโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโฉ
โ 90.0% โ -0.0148 โ -0.0135 โ
โโโโโโโโโผโโโโโโโโโโผโโโโโโโโโโโโโโโโโโค
โ 95.0% โ -0.0189 โ -0.0197 โ
โโโโโโโโโผโโโโโโโโโโผโโโโโโโโโโโโโโโโโโค
โ 99.0% โ -0.0267 โ -0.0258 โ
โโโโโโโโโผโโโโโโโโโโผโโโโโโโโโโโโโโโโโโค
โ 99.9% โ -0.0353 โ -0.0276 โ
โโโโโโโโโดโโโโโโโโโโดโโโโโโโโโโโโโโโโโโ