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Implement Risk Metrics: Value At Risk
Description
Implemented Value at risk in PortfolioStatistics Added ValueAtRisk indicator
Related Issue
Closes #6811
Motivation and Context
Value at risk was not supported
Requires Documentation Change
How Has This Been Tested?
Ran new and existing tests. Calculation validated against external data file - Python script can be found in #6811 .
Types of changes
- [ ] Bug fix (non-breaking change which fixes an issue)
- [ ] Refactor (non-breaking change which improves implementation)
- [ ] Performance (non-breaking change which improves performance. Please add associated performance test and results)
- [x] New feature (non-breaking change which adds functionality)
- [ ] Breaking change (fix or feature that would cause existing functionality to change)
- [ ] Non-functional change (xml comments/documentation/etc)
Checklist:
- [x] My code follows the code style of this project.
- [x] I have read the CONTRIBUTING document.
- [x] I have added tests to cover my changes.
- [x] All new and existing tests passed.
- [x] My branch follows the naming convention
bug-<issue#>-<description>orfeature-<issue#>-<description>