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)
评论列表
文章目录