risk-analysis

To calculate VaR and CVaR, you need a financial portfolio's daily return data and position weights. The risk analysis computes these metrics using historical, parametric, and Monte Carlo methods to quantify potential capital losses.

Yes, you can run stress testing and tail-risk analysis by applying historical return series and position weights. The process uses historical and hypothetical scenarios alongside Extreme Value Theory to assess tail-risk exposure.

Generating a comprehensive portfolio risk report requires daily return data and asset position weights. Optional scenario definitions can also be supplied to compute specific stress-test metrics and tail-risk outputs.

Yes, risk analysis supports Extreme Value Theory and GPD fitting for tail-risk evaluation. By processing daily return data, the framework fits statistical distributions to capture extreme loss probabilities in the portfolio.

The best way to assess maximum drawdown is by processing daily return series and asset weights through Monte Carlo simulation. This calculates peak-to-trough portfolio losses and includes them in a formatted risk report.