es
Provides Expected Shortfall (short: ES) of the selected stock.
Usage
es [-m] [-d {laplace,student_t,logistic,normal}] [-p PERCENTILE]
Parameters
| Name | Parameter | Description | Default | Optional | Choices |
|---|---|---|---|---|---|
| use_mean | -m --mean | If one should use the mean of the stocks return | False | True | None |
| distributions | -d --dist | Distribution used for the calculations | normal | True | laplace, student_t, logistic, normal |
| percentile | -p --percentile | Percentile for calculations, i.e. input 99.9 equals a 99.9 Percent Expected Shortfall | 99.9 | True | None |
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 │
└───────┴─────────┴────────────────┘