es
Provides Expected Shortfall (short: ES) of the selected stock.
Usageโ
es [-m] [-d {laplace,student_t,logistic,normal}] [-p PERCENTILE]
Parametersโ
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 |
Examplesโ
2022 Feb 25, 06:50 (๐ฆ) /stocks/qa/ $ es
TSLA Expected Shortfall
โโโโโโโโโณโโโโโโโโโโณโโโโโโโโโโโโโโโโโ
โ โ ES: โ Historical ES: โ
โกโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโฉ
โ 90.0% โ -0.0752 โ -0.0705 โ
โโโโโโโโโผโโโโโโโโโโผโโโโโโโโโโโโโโโโโค
โ 95.0% โ -0.0885 โ -0.0932 โ
โโโโโโโโโผโโโโโโโโโโผโโโโโโโโโโโโโโโโโค
โ 99.0% โ -0.1144 โ -0.1561 โ
โโโโโโโโโผโโโโโโโโโโผโโโโโโโโโโโโโโโโโค
โ 99.9% โ -0.1444 โ -0.2106 โ
โโโโโโโโโดโโโโโโโโโโดโโโโโโโโโโโโโโโโโ