def test_conditional_value_at_risk(self):
sim_model = EconDensity()
x_cond = np.array([[0], [1]])
CVaR = sim_model.conditional_value_at_risk(x_cond, alpha=0.03)
CVaR_mc = super(EconDensity,
sim_model).conditional_value_at_risk(x_cond,
alpha=0.03,
n_samples=10**7)
print("CVaR Analytic:", CVaR)
print("CVaR MC:", CVaR_mc)
print("VaR", sim_model.value_at_risk(x_cond, alpha=0.03))
diff = np.mean(np.abs(CVaR_mc - CVaR))
self.assertAlmostEqual(diff, 0, places=2)
def test_value_at_risk(self):
sim_model = EconDensity()
x_cond = np.array([[0], [1]])
VaR = sim_model.value_at_risk(x_cond, alpha=0.05)
VaR_cdf = super(EconDensity, sim_model).value_at_risk(x_cond,
alpha=0.05)
diff = np.sum(np.abs(VaR_cdf - VaR))
self.assertAlmostEqual(VaR[0],
stats.norm.ppf(0.05, loc=0, scale=1),
places=4)
self.assertAlmostEqual(VaR[1],
stats.norm.ppf(0.05, loc=1, scale=2),
places=4)
self.assertAlmostEqual(diff, 0, places=4)