coherent-risk-measure

There are 0 repository under coherent-risk-measure topic.

• jaantollander / ConditionalValueAtRisk

  Provides a concrete Julia implementation for computing the conditional value-at-risk (aka expected shortfall) for discrete probability distributions. Also works as a pseudocode for other languages.

  coherent-risk-measureconditional-value-at-riskexpected-shortfallrisk-measure
  Language:Julia 2