cvar

qf_lib.common.utils.returns.cvar.cvar(qf_series: QFSeries, percentage: float) → float[source]

Calculates Conditional Value at Risk for a given percentage. Percentage equal to 0.05 means 5% CVaR.

Parameters:

  • qf_series (QFSeries) – Series of returns/prices

  • percentage (float) – Percentage defining CVaR (what percentage of worst-case scenarios should be considered”

Returns:

Conditional value at risk as a number from range (-1,1). Simplifying: means how much money can be lost in the worst “percentage” % of all cases.

Return type:

float