MarketRisk.jl is a Julia library wich provides high performance differentiable market risk measures for your portfolio. The library currently supports:
- Value at Risk (VaR): Most popular market risk measure which gives maximum possible loss given a confidence level and a time horizon.
- Expected Tail Loss (ETL or CVaR): A more complete risk measure than VaR.
VaR:
using MarketRisk
μ = 0.1
Σ = 0.2
h = 10 / 250
α = 0.1
N = Normal()
var = ValueAtRisk(μ, Σ, h, α, N)
compute(var)
ETL:
using MarketRisk
μ = 0.0
Σ = 0.3
ν = 4.13
h = 10 / 250
α = 0.01
T = TDist(ν)
t_etl = ExpectedTailLoss(μ, Σ, h, α, T)
compute(t_etl)