Support for risk metrics: conditional, ex ante, incremental, marginal VaR & drawdown


#1

Hi,

does OG offer built-in support for the following risk metrics:

  • Conditional VaR / Expected Shortfall
  • Ex Ante VaR
  • Incremental VaR
  • Marginal VaR
  • Max. drawdown (within a time interval)

Thank you!