@railpath/finance-toolkit/dist/risk/calculateHistoricalVaR.js

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

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.calculateHistoricalVaR = calculateHistoricalVaR;
/**
 * Historical VaR - Uses empirical distribution of returns
 */
function calculateHistoricalVaR(returns, confidenceLevel) {
    const sorted = [...returns].sort((a, b) => a - b);
    const index = Math.floor((1 - confidenceLevel) * sorted.length);
    const varValue = Math.abs(sorted[index]);
    // Calculate CVaR (average of losses beyond VaR)
    const tailLosses = sorted.slice(0, index + 1);
    const cvar = Math.abs(tailLosses.reduce((sum, val) => sum + val, 0) / tailLosses.length);
    return {
        value: varValue,
        confidenceLevel,
        method: 'historical',
        cvar,
    };
}