skfolio.measures
.drawdown_at_risk#
- skfolio.measures.drawdown_at_risk(drawdowns, beta=0.95)[source]#
Compute the Drawdown at risk.
The Drawdown at risk is the maximum drawdown at a given confidence level (beta).
- Parameters:
- drawdownsndarray of shape (n_observations,) or (n_observations, n_assets)
Vector of drawdowns.
- betafloat, default = 0.95
The DaR confidence level (drawdown on the worst (1-beta)% observations).
- Returns:
- valuefloat or ndarray of shape (n_assets,)
Drawdown at risk. If
returns
is a 1D-array, the result is a float. Ifreturns
is a 2D-array, the result is a ndarray of shape (n_assets,).