@krzysztofsztompka/garch
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    Type Alias PortfolioTailRisk

    PortfolioTailRisk: TailRisk & { method: "normal" | "simulated" }

    A portfolio's VaR and ES, and how they were computed.

    Type Declaration

    • Readonlymethod: "normal" | "simulated"

      normal: closed form, one day with every asset normal; simulated otherwise.

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