stats.py 文件源码

def value_at_risk(returns, cutoff=0.05):
    """
    Value at risk (VaR) of a returns stream.

    Parameters
    ----------
    returns : pandas.Series or 1-D numpy.array
        Non-cumulative daily returns.
    cutoff : float, optional
        Decimal representing the percentage cutoff for the bottom percentile of
        returns. Defaults to 0.05.

    Returns
    -------
    VaR : float
        The VaR value.
    """
    return np.percentile(returns, 100 * cutoff)