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app/app.py
@@ -31,10 +31,14 @@
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)
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from risk_engine.credit import compute_el_table, summarize_el
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from risk_engine.scenarios import scenario_equities_shock, scenario_rates_bp, scenario_corr_bump_mc
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+from risklib.market.market_risk_model import MarketRiskModel, MarketRiskConfig
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from risklib.market.backtest import backtest_var_historical
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+
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@st.cache_data(show_spinner=False)
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def _cov_and_mu(returns: pd.DataFrame, horizon: int):
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mu = returns.mean().values * horizon
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