MarketRisk.jl is a Julia library wich provides high-performance market risk measures for your portfolio. It currently supports:
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Value at Risk (VaR): Most popular market risk measure which gives maximum possible loss given a confidence level and a time horizon.
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Expected Tail Loss (ETL or CVaR): A more complete risk measure than VaR.
using MarketRisk
w = [1.8, 2.2, 3.6, 5.2, 2.0, 7.0]
μ = zeros(6)
Σ = [[0.04, 0.033, 0.0375, 0.0405, 0.006, 0.004] [0.033, 0.0484, 0.04125, 0.04455, 0.0066, 0.0044] [0.0375, 0.04125, 0.0625, 0.050625, 0.0075, 0.005] [0.0405, 0.04455, 0.050625, 0.0729, 0.0081, 0.0054] [0.006, 0.0066, 0.0075, 0.0081, 0.0225, 0.0075] [0.004, 0.0044, 0.005, 0.0054, 0.0075, 0.01]]
h = 10 / 250
α = 0.01
p = Portfolio(w, μ, Σ)
m = mean(p)
s = sqrt(variance(p))
N = Normal()
normal_var = ValueAtRisk(m, s, h, α, N)
compute(normal_var)MarketRisk.jl can be installed via ] add MarketRisk
MarketRisk.jl is authored by mpkuperman
MarketRisk.jl is licensed by GNU General Public License v3.0. For more details please see the LICENSE file.