skfolio.measures.drawdown_at_risk

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

Compute the Drawdown at risk.

The Drawdown at risk (DaR) is the smallest drawdown exceeded with probability at most \(1 - \beta\). It is the value at risk of the drawdowns, see value_at_risk.

Parameters:

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

Vector of drawdowns.

betafloat, default = 0.95

The DaR confidence level.

Returns:

valuefloat or ndarray of shape (n_assets,)

Drawdown at risk. 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,).