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1.6 KiB
Vendored
1.6 KiB
Vendored
title, description
| title | description |
|---|---|
| es | OpenBB Terminal Function |
es
Provides Expected Shortfall (short: ES) of the selected portfolio.
Usage
es [-m] [-d DIST] [-p PERCENTILE]
Parameters
| Name | Description | Default | Optional | Choices |
|---|---|---|---|---|
| use_mean | If one should use the mean of the portfolios return | True | True | None |
| distribution | Distribution used for the calculations | normal | True | laplace, student_t, logistic, normal |
| percentile | Percentile used for ES calculations, for example input 99.9 equals a 99.9 Percent Expected Shortfall | 99.9 | True | None |
Examples
2022 Feb 25, 03:09 (🦋) /portfolio/ $ es
Portfolio Expected Shortfall
┏━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━━━┓
┃ ┃ ES: ┃ Historical ES: ┃
┡━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━━━┩
│ 90.0% │ -0.0204 │ -0.0202 │
├───────┼─────────┼────────────────┤
│ 95.0% │ -0.0240 │ -0.0242 │
├───────┼─────────┼────────────────┤
│ 99.0% │ -0.0310 │ -0.0270 │
├───────┼─────────┼────────────────┤
│ 99.9% │ -0.0391 │ -0.0277 │
└───────┴─────────┴────────────────┘