Supported Measures

This is a complete list of the measures currently supported.

• Absorption Ratio
• Contingent Claim Analysis
• Distress Insurance Premium
• Kyle’s Lambda
• Lerner Index (Banks)
• Limit Order Book Slope
• Long-Run Marginal Expected Shortfall (LRMES)
• Marginal Expected Shortfall
• Option Prices
• Probability of Informed Trading (PIN)
• Spread and Price Impact
• SRISK
• Systemic Expected Shortfall
• Z-score