risk.covar()

CoVaR of a component: the total’s VaR at level q over the

Usage

risk.covar(
    pd,
    key,
    p,
    q,
)

simulations where the component is at or above its own VaR at p.

Compare it with the total’s unconditional VaR at q to see how much one segment’s bad years drag the portfolio.

Parameters

pd: PredictiveDistribution

key: tuple

The component’s key.

p: float

The component’s distress level.

q: float

The level of the total’s VaR.

Returns

float

Raises

ValueError

If there is no component key.

Examples

>>> from prospicio.distributions import PredictiveDistribution
>>> from prospicio.risk import covar
>>> pd = PredictiveDistribution(["lob"], [("a",), ("b",)],
...                             [[1.0, 0.0], [2.0, 1.0], [3.0, 5.0], [4.0, 1.0]])
>>> covar(pd, ("a",), 0.75, 0.5)

5.0