Add VaR and CVaR functions

quantopian / empyrical

Common financial risk and performance metrics. Used by zipline and pyfolio.

https://quantopian.github.io/empyrical

Apache License 2.0

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Closed dmichalowicz closed 7 years ago

dmichalowicz commented 7 years ago

Add a function that calculates the conditional value at risk of a set of returns streams.

dmichalowicz commented 7 years ago

@ssanderson I've updated this based on our recent discussions, mind taking a look?

ssanderson commented 7 years ago