kavehtehrani
/ var_cvar_example.py
Last active
December 4, 2025 04:20
var vs cvar - coherence of risk measures
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| import numpy as np | |
| import pandas as pd | |
| A = np.array([1.0] * 18 + [-100.0, 0.0, -30.0]) | |
| B = np.array([1.0] * 18 + [0.0, -100.0, -30.0]) | |
| P = 0.5 * A + 0.5 * B | |
| def var(r, alpha=0.90): | |
| return np.percentile(r, 100 * (1 - alpha)) |