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longbridge-risk-analysis
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Risk measurement and stress testing via Longbridge — computes VaR (historical simulation / parametric), CVaR (expected shortfall), max drawdown, Sharpe ratio, Calmar ratio, and runs historical scenario stress tests (2008 GFC, 2020 COVID cra
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longbridge-risk-analysis
skill:longbridge/skills/longbridge-risk-analysis · published by longbridge · source repository