/**
 * Value at Risk (VaR) and Conditional VaR (CVaR) Utility
 *
 * Risk quantification for DeFi vault returns using historical simulation.
 * Provides tail-risk metrics (VaR, CVaR) and downside-adjusted performance
 * measurement (Sortino ratio) for vault assessment.
 */
/**
 * VaR and CVaR analysis results for a return series.
 * All loss values are expressed as positive percentages (e.g., 2.5 means 2.5% loss).
 */
export interface VaRAnalysis {
    /** VaR at 95% confidence level (percentage loss not exceeded 95% of the time) */
    var95: number;
    /** VaR at 99% confidence level (percentage loss not exceeded 99% of the time) */
    var99: number;
    /** CVaR/Expected Shortfall at 95% (mean loss beyond VaR95, as percentage) */
    cvar95: number;
    /** CVaR/Expected Shortfall at 99% (mean loss beyond VaR99, as percentage) */
    cvar99: number;
    /** Number of return observations used in the analysis */
    dataPoints: number;
}
/**
 * Calculate Value at Risk (VaR) and Conditional VaR (CVaR) using historical simulation.
 *
 * Historical simulation sorts observed returns and reads off percentiles directly,
 * making no distributional assumptions. This is appropriate for DeFi returns which
 * often exhibit fat tails and skewness that parametric methods underestimate.
 *
 * @param returns - Array of periodic returns as decimal fractions (e.g., -0.02 = -2% loss)
 * @returns VaR analysis with loss magnitudes as positive percentages
 *
 * @example
 * ```ts
 * const dailyReturns = [-0.01, 0.005, -0.03, 0.02, ...]; // 30+ observations
 * const analysis = calculateVaR(dailyReturns);
 * // analysis.var95 = 2.5 means "95% of the time, daily loss does not exceed 2.5%"
 * ```
 */
export declare function calculateVaR(returns: number[]): VaRAnalysis;
/**
 * Calculate the Sortino ratio for a return series.
 *
 * Sortino ratio improves on Sharpe by penalizing only downside volatility,
 * which better reflects investor preferences in asymmetric return distributions
 * typical of DeFi strategies.
 *
 * Formula: (mean return - risk-free rate) / downside deviation
 *
 * @param returns - Array of periodic returns as decimal fractions
 * @param riskFreeRate - Per-period risk-free rate as decimal (default: 0.02 = 2% per period).
 *   Callers must convert annualized rates to match the return period
 *   (e.g., annual 5% → daily 0.05/365 ≈ 0.000137).
 * @returns Sortino ratio, or 0 if insufficient data or no downside deviation
 *
 * @example
 * ```ts
 * const weeklyReturns = [0.01, -0.005, 0.015, -0.02, ...];
 * const weeklyRiskFree = 0.05 / 52; // 5% annual → per-week
 * const sortino = calculateSortinoRatio(weeklyReturns, weeklyRiskFree);
 * ```
 */
export declare function calculateSortinoRatio(returns: number[], riskFreeRate?: number): number;
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