MarketRisk.jl is a Julia library wich provides high-performance market risk measures for your portfolio. It 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)

MarketRisk.jl is licensed by GNU General Public License v3.0. For more details please see the LICENSE file.