Module risk 

Risk metrics over supplied return and scenario data.

These routines do not fetch market data or infer missing histories. Callers provide the return series or shocks and the output buffers.

Enums

RiskError

Functions

gaussian_var

Parametric Gaussian VaR as a positive loss fraction.

historical_cvar

Historical expected shortfall/CVaR as a positive average tail loss.

historical_var

Historical VaR as a positive loss fraction at confidence.

scenario_loss

Apply asset shocks to portfolio weights and return scenario portfolio loss.

scenario_losses_into

Scenario losses for row-major scenario shock matrix.

sorted_returns_into

Copy and sort returns ascending into caller-owned scratch.