shortfall 0.1.0__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- shortfall/__init__.py +742 -0
- shortfall/backtest.py +663 -0
- shortfall/bounds.py +863 -0
- shortfall/cleaning.py +454 -0
- shortfall/cli.py +3413 -0
- shortfall/contributions.py +751 -0
- shortfall/copula.py +920 -0
- shortfall/covariance.py +364 -0
- shortfall/distributions.py +532 -0
- shortfall/drawdown.py +546 -0
- shortfall/entropy.py +937 -0
- shortfall/expectile.py +584 -0
- shortfall/extreme.py +839 -0
- shortfall/factors.py +533 -0
- shortfall/historical.py +551 -0
- shortfall/horizon.py +497 -0
- shortfall/linalg.py +490 -0
- shortfall/mixture.py +848 -0
- shortfall/parametric.py +464 -0
- shortfall/py.typed +0 -0
- shortfall/quadratic.py +819 -0
- shortfall/ranks.py +344 -0
- shortfall/realised.py +512 -0
- shortfall/saddlepoint.py +623 -0
- shortfall/scoring.py +365 -0
- shortfall/series.py +494 -0
- shortfall/spectral.py +758 -0
- shortfall/stress.py +444 -0
- shortfall/volatility.py +775 -0
- shortfall-0.1.0.dist-info/METADATA +2293 -0
- shortfall-0.1.0.dist-info/RECORD +35 -0
- shortfall-0.1.0.dist-info/WHEEL +5 -0
- shortfall-0.1.0.dist-info/entry_points.txt +2 -0
- shortfall-0.1.0.dist-info/licenses/LICENSE +21 -0
- shortfall-0.1.0.dist-info/top_level.txt +1 -0
shortfall/__init__.py
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"""shortfall — a portfolio risk engine, in pure Python with no dependencies."""
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from __future__ import annotations
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from .backtest import (
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ADVISORY_MINIMUM,
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BadForecast,
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CoverageTest,
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Exceedances,
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ExpectedShortfallTest,
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TrafficLight,
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Validation,
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Zone,
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conditional_coverage,
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exceedances,
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expected_shortfall_test,
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independence,
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simulate_expected_shortfall_null,
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traffic_light,
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unconditional_coverage,
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validate,
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)
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from .bounds import (
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DEFAULT_SWEEP_PATIENCE,
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DEFAULT_TAIL_POINTS,
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MAX_REARRANGEMENT_SWEEPS,
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Arrangement,
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BestCase,
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Bounds,
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LossTail,
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NoTailMean,
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NotIncreasing,
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WorstCase,
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best_case_value_at_risk,
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completely_mixable_level,
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dependence_bounds,
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exponential_loss,
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normal_loss,
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pareto_loss,
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rearrange,
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uniform_loss,
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worst_case_value_at_risk,
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)
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from .cleaning import (
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BadDimensions,
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Cleaned,
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OutOfSample,
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clip_spectrum,
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compare_estimators,
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detection_threshold,
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eigenvector_overlap,
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implied_spike,
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marchenko_pastur_density,
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marchenko_pastur_edges,
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spike_location,
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)
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from .contributions import (
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Allocation,
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DidNotConverge,
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NegativeContribution,
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NoRiskToAllocate,
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PrincipalBets,
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RiskParity,
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concentration,
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diversification_ratio,
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effective_bets,
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historical_shortfall_contributions,
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principal_bets,
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risk_contributions,
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risk_parity,
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unit_risk,
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volatility_contributions,
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)
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from .copula import (
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COPULA_BATCHES,
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MAX_COPULA_ASSETS,
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MAX_COPULA_DEGREES,
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MAX_COPULA_PATHS,
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MIN_COPULA_DEGREES,
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MIN_COPULA_OBSERVATIONS,
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MIN_COPULA_PATHS,
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TAIL_FRACTION,
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CopulaRisk,
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Family,
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FittedCopula,
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Marginal,
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NoGaussianBaseline,
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NotIdentified,
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TailDependence,
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copula_risk,
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fit_copula,
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gaussian_copula_log_likelihood,
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joint_exceedance_rate,
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simulate_copula,
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student_t_copula_log_likelihood,
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tail_dependence_coefficient,
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)
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from .covariance import (
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Diagnostics,
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Shrunk,
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average_correlation,
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blend,
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constant_correlation_target,
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correlation,
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diagnose,
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ledoit_wolf,
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portfolio_variance,
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sample_covariance,
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)
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from .distributions import (
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OutOfDomain,
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binomial_cdf,
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binomial_sf,
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chi_square_cdf,
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chi_square_ppf,
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chi_square_sf,
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normal_cdf,
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normal_pdf,
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normal_ppf,
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standardised_t_log_pdf,
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student_t_cdf,
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student_t_pdf,
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student_t_ppf,
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)
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from .drawdown import (
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Drawdown,
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calmar,
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downside_deviation,
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drawdown_series,
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drawdowns,
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longest_underwater,
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martin_ratio,
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maximum_drawdown,
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rolling,
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rolling_maximum_drawdown,
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rolling_ulcer_index,
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rolling_volatility,
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sortino,
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ulcer_index,
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wealth_curve,
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)
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from .entropy import (
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MAX_POOL_ITERATIONS,
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POOL_TOLERANCE,
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STALL_TOLERANCE,
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Posterior,
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View,
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ViewsInfeasible,
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ViewsNotIdentified,
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effective_scenarios,
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mean_view,
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pool,
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probability_view,
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relative_entropy,
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stressed_risk,
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temper,
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weighted_expected_shortfall,
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weighted_quantile,
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)
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from .expectile import (
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BadLevel,
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Expectile,
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Match,
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asymmetric_squared_loss,
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comonotonic_gap,
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expectile_identity,
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matching_level,
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normal_expectile,
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sample_expectile,
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student_t_expectile,
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subadditivity_gap,
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)
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from .extreme import (
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MINIMUM_EXCEEDANCES,
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ExtremeRisk,
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GeneralisedPareto,
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HillShape,
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ImpossibleFit,
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MeanExcess,
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NotEnoughTail,
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OutsideTheFit,
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TailMethod,
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UndefinedTailMean,
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excesses_over,
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extreme_risk,
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fit_generalised_pareto,
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fit_tail,
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hill_curve,
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hill_shape,
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mean_excess_curve,
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threshold_for,
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)
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from .factors import (
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Attribution,
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FactorModel,
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Regression,
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attribute_risk,
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fit_factor_model,
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regress,
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)
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from .historical import (
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Coherence,
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Filtered,
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HistoricalRisk,
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Interval,
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QuantileMethod,
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bootstrap_interval,
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check_subadditivity,
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empirical_quantile,
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ewma_volatility,
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filtered_historical_risk,
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historical_risk,
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sample_expected_shortfall,
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)
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from .horizon import (
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BATCHES,
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MAX_PATHS,
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MAX_TOTAL_STEPS,
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MIN_OBSERVED_RESIDUALS,
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MIN_PATHS,
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HorizonRisk,
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Innovations,
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horizon_risk,
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)
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from .linalg import (
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NotPositiveDefinite,
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NotSquare,
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NotSymmetric,
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RankDeficient,
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cholesky,
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condition_number,
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eigenvalues,
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eigh,
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is_positive_semidefinite,
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least_squares,
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nearest_psd,
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quadratic_form,
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solve_upper,
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upper_inverse_gram,
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)
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from .mixture import (
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BadMixture,
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Component,
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Fitted,
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MixtureRisk,
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NormalMixture,
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Occupation,
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averaged_shortfall,
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convolve,
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diversification_gap,
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fit_mixture,
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horizon_mixture,
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mixture_risk,
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occupation_law,
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responsibilities,
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stationary,
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tail_ratio,
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)
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from .parametric import (
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Distribution,
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NotAQuantileFunction,
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Risk,
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cornish_fisher_risk,
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normal_risk,
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parametric_risk,
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portfolio_risk,
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student_t_risk,
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)
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from .quadratic import (
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NEAR_MEAN,
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DidNotSolve,
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Exposure,
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NotQuadratic,
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OutsideSupport,
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QuadraticRisk,
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StandardForm,
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Whitening,
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cgf,
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cgf_curvature,
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cgf_domain,
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cgf_slope,
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cumulants,
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delta_normal_quantile,
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form_support,
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linear_form,
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negated,
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quadratic_cdf,
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quadratic_quantile,
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quadratic_risk,
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quadratic_shortfall,
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quadratic_tail,
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saddlepoint_argument,
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standard_form,
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whitening,
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)
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from .ranks import (
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MINIMUM_RANK_OBSERVATIONS,
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correlation_from_kendall,
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correlation_from_spearman,
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elliptical_correlation,
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kendall_matrix,
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kendall_tau,
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kendall_tau_quadratic,
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ranks_of,
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spearman_matrix,
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spearman_rho,
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)
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from .realised import (
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BadBar,
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Bar,
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Bars,
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Estimator,
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close_to_close,
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efficiency,
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garman_klass,
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garman_klass_yang_zhang,
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parkinson,
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realised_variance,
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realised_volatility,
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rogers_satchell,
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tick_bias_factor,
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yang_zhang,
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)
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from .saddlepoint import (
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SADDLE_FLOOR,
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SPAN_DENOMINATOR,
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Exceedance,
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LossPortfolio,
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Obligor,
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SaddlepointError,
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exact_distribution,
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exact_shortfall,
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333
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exact_tail,
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334
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exceedance_probability,
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335
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lattice_span,
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336
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normal_tail,
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337
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saddlepoint,
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338
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saddlepoint_shortfall,
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339
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shortfall_contributions,
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340
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tail_probability,
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341
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)
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342
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from .scoring import (
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|
343
|
+
BadScore,
|
|
344
|
+
Comparison,
|
|
345
|
+
Scores,
|
|
346
|
+
compare,
|
|
347
|
+
fz0_loss,
|
|
348
|
+
quantile_loss,
|
|
349
|
+
)
|
|
350
|
+
from .series import (
|
|
351
|
+
ANNUAL,
|
|
352
|
+
DAILY_CALENDAR,
|
|
353
|
+
DAILY_TRADING,
|
|
354
|
+
MONTHLY,
|
|
355
|
+
QUARTERLY,
|
|
356
|
+
WEEKLY,
|
|
357
|
+
Convention,
|
|
358
|
+
Misaligned,
|
|
359
|
+
Panel,
|
|
360
|
+
ReturnSeries,
|
|
361
|
+
TooShort,
|
|
362
|
+
)
|
|
363
|
+
from .spectral import (
|
|
364
|
+
BadSpectrum,
|
|
365
|
+
Coherent,
|
|
366
|
+
ExponentialSpectrum,
|
|
367
|
+
MixtureSpectrum,
|
|
368
|
+
PowerSpectrum,
|
|
369
|
+
ShortfallSpectrum,
|
|
370
|
+
TailShare,
|
|
371
|
+
WangSpectrum,
|
|
372
|
+
check_coherence,
|
|
373
|
+
matching_shift,
|
|
374
|
+
normal_spectral,
|
|
375
|
+
spectral_risk,
|
|
376
|
+
tail_share,
|
|
377
|
+
)
|
|
378
|
+
from .stress import (
|
|
379
|
+
MaximumLoss,
|
|
380
|
+
OneAtATime,
|
|
381
|
+
Scenario,
|
|
382
|
+
linear_maximum_loss,
|
|
383
|
+
maximum_loss,
|
|
384
|
+
one_at_a_time,
|
|
385
|
+
radius_for,
|
|
386
|
+
worst_case_scenario,
|
|
387
|
+
)
|
|
388
|
+
from .volatility import (
|
|
389
|
+
FatTail,
|
|
390
|
+
Garch,
|
|
391
|
+
Innovation,
|
|
392
|
+
fat_tail_test,
|
|
393
|
+
fit_garch,
|
|
394
|
+
garch_forecast_series,
|
|
395
|
+
garch_variances,
|
|
396
|
+
)
|
|
397
|
+
|
|
398
|
+
__version__ = "0.1.0"
|
|
399
|
+
|
|
400
|
+
__all__ = [
|
|
401
|
+
"ADVISORY_MINIMUM",
|
|
402
|
+
"ANNUAL",
|
|
403
|
+
"BATCHES",
|
|
404
|
+
"COPULA_BATCHES",
|
|
405
|
+
"DAILY_CALENDAR",
|
|
406
|
+
"DAILY_TRADING",
|
|
407
|
+
"DEFAULT_SWEEP_PATIENCE",
|
|
408
|
+
"DEFAULT_TAIL_POINTS",
|
|
409
|
+
"MAX_COPULA_ASSETS",
|
|
410
|
+
"MAX_COPULA_DEGREES",
|
|
411
|
+
"MAX_COPULA_PATHS",
|
|
412
|
+
"MAX_PATHS",
|
|
413
|
+
"MAX_POOL_ITERATIONS",
|
|
414
|
+
"MAX_REARRANGEMENT_SWEEPS",
|
|
415
|
+
"MAX_TOTAL_STEPS",
|
|
416
|
+
"MINIMUM_EXCEEDANCES",
|
|
417
|
+
"MINIMUM_RANK_OBSERVATIONS",
|
|
418
|
+
"MIN_COPULA_DEGREES",
|
|
419
|
+
"MIN_COPULA_OBSERVATIONS",
|
|
420
|
+
"MIN_COPULA_PATHS",
|
|
421
|
+
"MIN_OBSERVED_RESIDUALS",
|
|
422
|
+
"MIN_PATHS",
|
|
423
|
+
"MONTHLY",
|
|
424
|
+
"NEAR_MEAN",
|
|
425
|
+
"POOL_TOLERANCE",
|
|
426
|
+
"QUARTERLY",
|
|
427
|
+
"SADDLE_FLOOR",
|
|
428
|
+
"SPAN_DENOMINATOR",
|
|
429
|
+
"STALL_TOLERANCE",
|
|
430
|
+
"TAIL_FRACTION",
|
|
431
|
+
"WEEKLY",
|
|
432
|
+
"Allocation",
|
|
433
|
+
"Arrangement",
|
|
434
|
+
"Attribution",
|
|
435
|
+
"BadBar",
|
|
436
|
+
"BadDimensions",
|
|
437
|
+
"BadForecast",
|
|
438
|
+
"BadLevel",
|
|
439
|
+
"BadMixture",
|
|
440
|
+
"BadScore",
|
|
441
|
+
"BadSpectrum",
|
|
442
|
+
"Bar",
|
|
443
|
+
"Bars",
|
|
444
|
+
"BestCase",
|
|
445
|
+
"Bounds",
|
|
446
|
+
"Cleaned",
|
|
447
|
+
"Coherence",
|
|
448
|
+
"Coherent",
|
|
449
|
+
"Comparison",
|
|
450
|
+
"Component",
|
|
451
|
+
"Convention",
|
|
452
|
+
"CopulaRisk",
|
|
453
|
+
"CoverageTest",
|
|
454
|
+
"Diagnostics",
|
|
455
|
+
"DidNotConverge",
|
|
456
|
+
"DidNotSolve",
|
|
457
|
+
"Distribution",
|
|
458
|
+
"Drawdown",
|
|
459
|
+
"Estimator",
|
|
460
|
+
"Exceedance",
|
|
461
|
+
"Exceedances",
|
|
462
|
+
"ExpectedShortfallTest",
|
|
463
|
+
"Expectile",
|
|
464
|
+
"ExponentialSpectrum",
|
|
465
|
+
"Exposure",
|
|
466
|
+
"ExtremeRisk",
|
|
467
|
+
"FactorModel",
|
|
468
|
+
"Family",
|
|
469
|
+
"FatTail",
|
|
470
|
+
"Filtered",
|
|
471
|
+
"Fitted",
|
|
472
|
+
"FittedCopula",
|
|
473
|
+
"Garch",
|
|
474
|
+
"GeneralisedPareto",
|
|
475
|
+
"HillShape",
|
|
476
|
+
"HistoricalRisk",
|
|
477
|
+
"HorizonRisk",
|
|
478
|
+
"ImpossibleFit",
|
|
479
|
+
"Innovation",
|
|
480
|
+
"Innovations",
|
|
481
|
+
"Interval",
|
|
482
|
+
"LossPortfolio",
|
|
483
|
+
"LossTail",
|
|
484
|
+
"Marginal",
|
|
485
|
+
"Match",
|
|
486
|
+
"MaximumLoss",
|
|
487
|
+
"MeanExcess",
|
|
488
|
+
"Misaligned",
|
|
489
|
+
"MixtureRisk",
|
|
490
|
+
"MixtureSpectrum",
|
|
491
|
+
"NegativeContribution",
|
|
492
|
+
"NoGaussianBaseline",
|
|
493
|
+
"NoRiskToAllocate",
|
|
494
|
+
"NoTailMean",
|
|
495
|
+
"NormalMixture",
|
|
496
|
+
"NotAQuantileFunction",
|
|
497
|
+
"NotEnoughTail",
|
|
498
|
+
"NotIdentified",
|
|
499
|
+
"NotIncreasing",
|
|
500
|
+
"NotPositiveDefinite",
|
|
501
|
+
"NotQuadratic",
|
|
502
|
+
"NotSquare",
|
|
503
|
+
"NotSymmetric",
|
|
504
|
+
"Obligor",
|
|
505
|
+
"Occupation",
|
|
506
|
+
"OneAtATime",
|
|
507
|
+
"OutOfDomain",
|
|
508
|
+
"OutOfSample",
|
|
509
|
+
"OutsideSupport",
|
|
510
|
+
"OutsideTheFit",
|
|
511
|
+
"Panel",
|
|
512
|
+
"Posterior",
|
|
513
|
+
"PowerSpectrum",
|
|
514
|
+
"PrincipalBets",
|
|
515
|
+
"QuadraticRisk",
|
|
516
|
+
"QuantileMethod",
|
|
517
|
+
"RankDeficient",
|
|
518
|
+
"Regression",
|
|
519
|
+
"ReturnSeries",
|
|
520
|
+
"Risk",
|
|
521
|
+
"RiskParity",
|
|
522
|
+
"SaddlepointError",
|
|
523
|
+
"Scenario",
|
|
524
|
+
"Scores",
|
|
525
|
+
"ShortfallSpectrum",
|
|
526
|
+
"Shrunk",
|
|
527
|
+
"StandardForm",
|
|
528
|
+
"TailDependence",
|
|
529
|
+
"TailMethod",
|
|
530
|
+
"TailShare",
|
|
531
|
+
"TooShort",
|
|
532
|
+
"TrafficLight",
|
|
533
|
+
"UndefinedTailMean",
|
|
534
|
+
"Validation",
|
|
535
|
+
"View",
|
|
536
|
+
"ViewsInfeasible",
|
|
537
|
+
"ViewsNotIdentified",
|
|
538
|
+
"WangSpectrum",
|
|
539
|
+
"Whitening",
|
|
540
|
+
"WorstCase",
|
|
541
|
+
"Zone",
|
|
542
|
+
"__version__",
|
|
543
|
+
"asymmetric_squared_loss",
|
|
544
|
+
"attribute_risk",
|
|
545
|
+
"average_correlation",
|
|
546
|
+
"averaged_shortfall",
|
|
547
|
+
"best_case_value_at_risk",
|
|
548
|
+
"binomial_cdf",
|
|
549
|
+
"binomial_sf",
|
|
550
|
+
"blend",
|
|
551
|
+
"bootstrap_interval",
|
|
552
|
+
"calmar",
|
|
553
|
+
"cgf",
|
|
554
|
+
"cgf_curvature",
|
|
555
|
+
"cgf_domain",
|
|
556
|
+
"cgf_slope",
|
|
557
|
+
"check_coherence",
|
|
558
|
+
"check_subadditivity",
|
|
559
|
+
"chi_square_cdf",
|
|
560
|
+
"chi_square_ppf",
|
|
561
|
+
"chi_square_sf",
|
|
562
|
+
"cholesky",
|
|
563
|
+
"clip_spectrum",
|
|
564
|
+
"close_to_close",
|
|
565
|
+
"comonotonic_gap",
|
|
566
|
+
"compare",
|
|
567
|
+
"compare_estimators",
|
|
568
|
+
"completely_mixable_level",
|
|
569
|
+
"concentration",
|
|
570
|
+
"condition_number",
|
|
571
|
+
"conditional_coverage",
|
|
572
|
+
"constant_correlation_target",
|
|
573
|
+
"convolve",
|
|
574
|
+
"copula_risk",
|
|
575
|
+
"cornish_fisher_risk",
|
|
576
|
+
"correlation",
|
|
577
|
+
"correlation_from_kendall",
|
|
578
|
+
"correlation_from_spearman",
|
|
579
|
+
"cumulants",
|
|
580
|
+
"delta_normal_quantile",
|
|
581
|
+
"dependence_bounds",
|
|
582
|
+
"detection_threshold",
|
|
583
|
+
"diagnose",
|
|
584
|
+
"diversification_gap",
|
|
585
|
+
"diversification_ratio",
|
|
586
|
+
"downside_deviation",
|
|
587
|
+
"drawdown_series",
|
|
588
|
+
"drawdowns",
|
|
589
|
+
"effective_bets",
|
|
590
|
+
"effective_scenarios",
|
|
591
|
+
"efficiency",
|
|
592
|
+
"eigenvalues",
|
|
593
|
+
"eigenvector_overlap",
|
|
594
|
+
"eigh",
|
|
595
|
+
"elliptical_correlation",
|
|
596
|
+
"empirical_quantile",
|
|
597
|
+
"ewma_volatility",
|
|
598
|
+
"exact_distribution",
|
|
599
|
+
"exact_shortfall",
|
|
600
|
+
"exact_tail",
|
|
601
|
+
"exceedance_probability",
|
|
602
|
+
"exceedances",
|
|
603
|
+
"excesses_over",
|
|
604
|
+
"expected_shortfall_test",
|
|
605
|
+
"expectile_identity",
|
|
606
|
+
"exponential_loss",
|
|
607
|
+
"extreme_risk",
|
|
608
|
+
"fat_tail_test",
|
|
609
|
+
"filtered_historical_risk",
|
|
610
|
+
"fit_copula",
|
|
611
|
+
"fit_factor_model",
|
|
612
|
+
"fit_garch",
|
|
613
|
+
"fit_generalised_pareto",
|
|
614
|
+
"fit_mixture",
|
|
615
|
+
"fit_tail",
|
|
616
|
+
"form_support",
|
|
617
|
+
"fz0_loss",
|
|
618
|
+
"garch_forecast_series",
|
|
619
|
+
"garch_variances",
|
|
620
|
+
"garman_klass",
|
|
621
|
+
"garman_klass_yang_zhang",
|
|
622
|
+
"gaussian_copula_log_likelihood",
|
|
623
|
+
"hill_curve",
|
|
624
|
+
"hill_shape",
|
|
625
|
+
"historical_risk",
|
|
626
|
+
"historical_shortfall_contributions",
|
|
627
|
+
"horizon_mixture",
|
|
628
|
+
"horizon_risk",
|
|
629
|
+
"implied_spike",
|
|
630
|
+
"independence",
|
|
631
|
+
"is_positive_semidefinite",
|
|
632
|
+
"joint_exceedance_rate",
|
|
633
|
+
"kendall_matrix",
|
|
634
|
+
"kendall_tau",
|
|
635
|
+
"kendall_tau_quadratic",
|
|
636
|
+
"lattice_span",
|
|
637
|
+
"least_squares",
|
|
638
|
+
"ledoit_wolf",
|
|
639
|
+
"linear_form",
|
|
640
|
+
"linear_maximum_loss",
|
|
641
|
+
"longest_underwater",
|
|
642
|
+
"marchenko_pastur_density",
|
|
643
|
+
"marchenko_pastur_edges",
|
|
644
|
+
"martin_ratio",
|
|
645
|
+
"matching_level",
|
|
646
|
+
"matching_shift",
|
|
647
|
+
"maximum_drawdown",
|
|
648
|
+
"maximum_loss",
|
|
649
|
+
"mean_excess_curve",
|
|
650
|
+
"mean_view",
|
|
651
|
+
"mixture_risk",
|
|
652
|
+
"nearest_psd",
|
|
653
|
+
"negated",
|
|
654
|
+
"normal_cdf",
|
|
655
|
+
"normal_expectile",
|
|
656
|
+
"normal_loss",
|
|
657
|
+
"normal_pdf",
|
|
658
|
+
"normal_ppf",
|
|
659
|
+
"normal_risk",
|
|
660
|
+
"normal_spectral",
|
|
661
|
+
"normal_tail",
|
|
662
|
+
"occupation_law",
|
|
663
|
+
"one_at_a_time",
|
|
664
|
+
"parametric_risk",
|
|
665
|
+
"pareto_loss",
|
|
666
|
+
"parkinson",
|
|
667
|
+
"pool",
|
|
668
|
+
"portfolio_risk",
|
|
669
|
+
"portfolio_variance",
|
|
670
|
+
"principal_bets",
|
|
671
|
+
"probability_view",
|
|
672
|
+
"quadratic_cdf",
|
|
673
|
+
"quadratic_form",
|
|
674
|
+
"quadratic_quantile",
|
|
675
|
+
"quadratic_risk",
|
|
676
|
+
"quadratic_shortfall",
|
|
677
|
+
"quadratic_tail",
|
|
678
|
+
"quantile_loss",
|
|
679
|
+
"radius_for",
|
|
680
|
+
"ranks_of",
|
|
681
|
+
"realised_variance",
|
|
682
|
+
"realised_volatility",
|
|
683
|
+
"rearrange",
|
|
684
|
+
"regress",
|
|
685
|
+
"relative_entropy",
|
|
686
|
+
"responsibilities",
|
|
687
|
+
"risk_contributions",
|
|
688
|
+
"risk_parity",
|
|
689
|
+
"rogers_satchell",
|
|
690
|
+
"rolling",
|
|
691
|
+
"rolling_maximum_drawdown",
|
|
692
|
+
"rolling_ulcer_index",
|
|
693
|
+
"rolling_volatility",
|
|
694
|
+
"saddlepoint",
|
|
695
|
+
"saddlepoint_argument",
|
|
696
|
+
"saddlepoint_shortfall",
|
|
697
|
+
"sample_covariance",
|
|
698
|
+
"sample_expected_shortfall",
|
|
699
|
+
"sample_expectile",
|
|
700
|
+
"shortfall_contributions",
|
|
701
|
+
"simulate_copula",
|
|
702
|
+
"simulate_expected_shortfall_null",
|
|
703
|
+
"solve_upper",
|
|
704
|
+
"sortino",
|
|
705
|
+
"spearman_matrix",
|
|
706
|
+
"spearman_rho",
|
|
707
|
+
"spectral_risk",
|
|
708
|
+
"spike_location",
|
|
709
|
+
"standard_form",
|
|
710
|
+
"standardised_t_log_pdf",
|
|
711
|
+
"stationary",
|
|
712
|
+
"stressed_risk",
|
|
713
|
+
"student_t_cdf",
|
|
714
|
+
"student_t_copula_log_likelihood",
|
|
715
|
+
"student_t_expectile",
|
|
716
|
+
"student_t_pdf",
|
|
717
|
+
"student_t_ppf",
|
|
718
|
+
"student_t_risk",
|
|
719
|
+
"subadditivity_gap",
|
|
720
|
+
"tail_dependence_coefficient",
|
|
721
|
+
"tail_probability",
|
|
722
|
+
"tail_ratio",
|
|
723
|
+
"tail_share",
|
|
724
|
+
"temper",
|
|
725
|
+
"threshold_for",
|
|
726
|
+
"tick_bias_factor",
|
|
727
|
+
"traffic_light",
|
|
728
|
+
"ulcer_index",
|
|
729
|
+
"unconditional_coverage",
|
|
730
|
+
"uniform_loss",
|
|
731
|
+
"unit_risk",
|
|
732
|
+
"upper_inverse_gram",
|
|
733
|
+
"validate",
|
|
734
|
+
"volatility_contributions",
|
|
735
|
+
"wealth_curve",
|
|
736
|
+
"weighted_expected_shortfall",
|
|
737
|
+
"weighted_quantile",
|
|
738
|
+
"whitening",
|
|
739
|
+
"worst_case_scenario",
|
|
740
|
+
"worst_case_value_at_risk",
|
|
741
|
+
"yang_zhang",
|
|
742
|
+
]
|