https://github.com/open-risk/tailrisk

A library for the calculation of tail risk measures
https://github.com/open-risk/tailrisk

expected-shortfall quantile-functions risk-measure value-at-risk

Last synced: 2 months ago
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A library for the calculation of tail risk measures

• Host: GitHub
• URL: https://github.com/open-risk/tailrisk
• Owner: open-risk
• License: apache-2.0
• Created: 2020-11-09T08:40:42.000Z (about 4 years ago)
• Default Branch: main
• Last Pushed: 2024-02-22T21:15:24.000Z (10 months ago)
• Last Synced: 2024-02-22T22:27:10.003Z (10 months ago)
• Topics: expected-shortfall, quantile-functions, risk-measure, value-at-risk
• Language: C++
• Homepage: https://www.openriskmanagement.com
• Size: 66.4 KB
• Stars: 4
• Watchers: 2
• Forks: 2
• Open Issues: 3
• Metadata Files:
  • Readme: README.md
  • Changelog: ChangeLog.md
  • License: LICENSE

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README

        
# tailRisk

A C++ library for the calculation of various tail risk measures

## Documentation

**NB: Documentation still under development.**

* Implemented [Risk Measures](RiskMeasures.md)

* Mathematical Documentation available [here](https://www.openriskmanual.org/wiki/Category:Tail_Risk) 

## Dependencies

* Eigen (Data container and linear algebra calculation library)

* Poco (For parsing JSON inputs and other utilities)

* Stats (A C++ header-only library of statistical distribution functions.)

## Example

The data directory contains sample datafiles with various sampled distributions

```c++

// Read in some data for a type 0 representation (discrete distribution)

int LossGrid = 1000;

int DataType = 0;

RandomVar L(LossGrid, DataType);

L.ReadFromJSON("../data/example5.json");

L.Print();

// Calculate various measures

double alpha = 0.8;

int threshold = 0;

std::cout << "Mean Value: " << L.Mean() << std::endl;

std::cout << "Median Value: " << L.Median() << std::endl;

std::cout << "STD Value: " << L.StandardDeviation() << std::endl;

std::cout << "Kurtosis: " << L.Kurtosis() << std::endl;

std::cout << "Skeweness: " << L.Skeweness() << std::endl;

std::cout << "Quantile @ " << alpha << ": " << L.Quantile(alpha) << std::endl;

std::cout << "Quantile Index @ " << alpha << ": " << L.Quantile_Index(alpha) << std::endl;

std::cout << "VaR @ " << alpha << ": " << L.VaR(alpha) << std::endl;

std::cout << "Expected Shortfall @ " << alpha << ": " << L.ExpectedShortFall(alpha) << std::endl;

std::cout << "Exceedance Probability: " << L.ExceedanceProbability(threshold) << std::endl;

std::cout << "Mean Excess: " << L.MeanExcess(threshold ) << std::endl;

```