tailrisk_var_es
Estimate Value-at-Risk and Expected Shortfall using EVT, historical, and Gaussian methods to compare tail risk estimates and quantify the need for a tail model.
Instructions
Estimate VaR and Expected Shortfall by three methods for comparison.
The EVT estimate extrapolates beyond the observed sample, the historical estimate cannot, and the Gaussian estimate is a deliberately naive baseline. A large gap between the EVT and Gaussian figures is the quantitative case for using a tail model at all.
Returns:
str: JSON with an evt object (var, es, shape,
threshold), historical and gaussian objects, plus
evt_vs_gaussian_ratio and the confidence level. Individual
methods report a note instead of a number when undefined.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| params | Yes |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |