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randomized-pit

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santarsierilorenzo / varlab

VaR & CVaR python package. Computation and backtesting.

finance trading risk value-at-risk backtesting investment-portfolio expected-shortfall cvar stochastic-rounding tail-risk kupiec-test christoffersen berkowitz var-backtesting basel-traffic-light christoffersen-conditional randomized-pit

Updated Mar 8, 2026
Python

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