risk_metrics

Subject

Portfolio Construction and Risk

Why This Module Exists

Risk budgets and guardrails require coherent downside metrics beyond variance.

Mathematical Foundations

VaR

$VaR_\alpha = -Q_\alpha(R)$

Expected Shortfall

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

Usage Examples

Rust

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)?;

API Reference

Rust API

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

Implementation Notes

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