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conditional_value_at_risk
The function conditional_value_at_risk in stats seems to have two errors.
stats
c_var
var
returns[returns > var]
returns[returns < var]
The text was updated successfully, but these errors were encountered:
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The function
conditional_value_at_risk
instats
seems to have two errors.c_var
is calculated seems to always make it NaN and thus the function always returnsvar
returns[returns > var]
instead ofreturns[returns < var]
? Now this might be entirely wrong - I'm just looking at the german wiki https://de.wikipedia.org/wiki/Conditional_Value_at_Risk which statesThe text was updated successfully, but these errors were encountered: