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---------

Co-authored-by: jose-donato <zmcdonato@gmail.com>
Co-authored-by: jose-donato <43375532+jose-donato@users.noreply.github.com>
Co-authored-by: andrewkenreich <andrew.kenreich@gmail.com>
2023-10-30 21:01:29 +00:00

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title, description, keywords
title description keywords
es Documentation page for using the Expected Shortfall (ES) function in Python. Provides detailed examples, parameter usage, and options for calculations.
Expected Shortfall
stock
distribution
percentile
ES
calculations

import HeadTitle from '@site/src/components/General/HeadTitle.tsx';

Provides Expected Shortfall (short: ES) of the selected stock.

Usage

es [-m] [-d {laplace,student_t,logistic,normal}] [-p PERCENTILE]

Parameters

Name Description Default Optional Choices
use_mean If one should use the mean of the stocks return False True None
distributions Distribution used for the calculations normal True laplace, student_t, logistic, normal
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        │
└───────┴─────────┴────────────────┘