skfolio.measures.cdar

skfolio.measures.cdar(drawdowns, beta=0.95)

Compute the historical CDaR (conditional drawdown at risk).

Parameters:

drawdownsndarray of shape (n_observations,) or (n_observations, n_assets)

Vector of drawdowns.

betafloat, default = 0.95

The CDaR confidence level (expected drawdown on the worst (1-beta)% observations).

Returns:

valuefloat or ndarray of shape (n_assets,)

CDaR. If returns is a 1D-array, the result is a float. If returns is a 2D-array, the result is a ndarray of shape (n_assets,).