risk_metrics

Portfolio Construction and Risk

Portfolio and return-distribution risk measures for downside control.

Why This Module Exists

Risk budgets and guardrails require coherent downside metrics beyond variance.

Key Public APIs

RiskMetrics::calculate_value_at_risk
RiskMetrics::calculate_expected_shortfall
RiskMetrics::calculate_conditional_drawdown_risk
RiskMetrics::calculate_variance

Core Math

VaR

\[VaR_\alpha = -Q_\alpha(R)\]

Expected Shortfall

\[ES_\alpha = -E[R \mid R \le Q_\alpha(R)]\]

Code Examples

Compute VaR and ES

use openquant::risk_metrics::RiskMetrics;

let r = vec![-0.02, 0.01, -0.005, 0.003, 0.004];
let var95 = RiskMetrics::calculate_value_at_risk(&r, 0.05)?;
let es95 = RiskMetrics::calculate_expected_shortfall(&r, 0.05)?;

Implementation Notes

Non-parametric estimates need enough tail observations.
Use matrix variants for multi-asset return panels.