get_tail_risk
Calculate Value-at-Risk (VaR) and Conditional VaR (CVaR) from simulation outputs, with configurable tail direction and threshold probabilities for risk analysis.
Instructions
ModelRisk: Tail-risk profile of a simulation output from its per-iteration samples — Value-at-Risk (VaR) and Conditional VaR / expected shortfall (CVaR) at each confidence level, plus optional threshold probabilities P(X>t) / P(X<=t). tail='upper' (default) treats large values as the loss (e.g. cost, claims); tail='lower' treats small values as the loss (e.g. NPV, profit). VaR is the alpha-quantile; CVaR is the mean of the worst (1-alpha) tail beyond it. Reads the samples ModelRisk recorded in the .vmrs — run a simulation first.
Input Schema
TableJSON Schema
| Name | Required | Description | Default |
|---|---|---|---|
| tail | No | 'upper' (large = bad, default) or 'lower' (small = bad). | upper |
| max_n | No | Max samples to read (default 100 000). | |
| alphas | No | Confidence levels for VaR/CVaR. Default [0.95, 0.99]. | |
| thresholds | No | Values to compute P(X>t) / P(X<=t) for. Optional. | |
| output_name | Yes | VoseOutput (or VoseInput) name. | |
| workbook_name | No | Workbook name. Omit for the active workbook. |
Output Schema
TableJSON Schema
| Name | Required | Description | Default |
|---|---|---|---|
| mean | Yes | ||
| tail | Yes | 'upper' (large = bad) or 'lower' (small = bad). | |
| stdev | Yes | ||
| maximum | Yes | ||
| minimum | Yes | ||
| output_name | Yes | ||
| sample_size | Yes | ||
| tail_metrics | Yes | VaR / CVaR at each requested confidence level. | |
| threshold_probabilities | No | P(X>t) / P(X<=t) for each requested threshold. |