@railpath/finance-toolkit/dist/risk/calculateHistoricalExpectedShortfall.d.ts

Production-ready finance library for portfolio construction, risk analytics, quantitative metrics, and ML-based regime detection

import { ExpectedShortfallOptionsValidated } from '../schemas/ExpectedShortfallOptionsSchema';
/**
 * Calculate Expected Shortfall using historical method
 *
 * @param returns Array of historical returns
 * @param options Calculation options
 * @returns Expected Shortfall value (negative = potential loss)
 */
export declare function calculateHistoricalExpectedShortfall(returns: number[], options: ExpectedShortfallOptionsValidated): number;