Conditional Value At Risk

v1.0.0

Compute the conditional value at risk of one or several portfolio(s) from portfolio values.

References

Input

{
  "type": "object",
  "required": [
    "alpha",
    "portfolios"
  ],
  "properties": {
    "alpha": {
      "type": "number",
      "description": "The conditional value at risk level"
    },
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioValues"
        ],
        "properties": {
          "portfolioValues": {
            "type": "array",
            "description": "portfolioValues[t] is the value of the portfolio at the time t",
            "items": {
              "type": "number"
            }
          }
        }
      }
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioConditionalValueAtRisk"
        ],
        "properties": {
          "portfolioConditionalValueAtRisk": {
            "type": "number",
            "description": "The conditional value at risk of the portfolio"
          }
        }
      }
    }
  }
}