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title, description
title description
calculate_adjusted_var OpenBB SDK Function

calculate_adjusted_var

Calculates VaR, which is adjusted for skew and kurtosis (Cornish-Fischer-Expansion)

Source Code: [link]

openbb.qa.calculate_adjusted_var(kurtosis: float, skew: float, ndp: float, std: float, mean: float)

Parameters

Name Type Description Default Optional
kurtosis float kurtosis of data None False
skew float skew of data None False
ndp float normal distribution percentage number (99% -> -2.326) None False
std float standard deviation of data None False
mean float mean of data None False

Returns

Type Description
float Real adjusted VaR