CornishFisherES: Corn-Fisher ES
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Function estimates the ES for near-normal P/L using the Cornish-Fisher adjustment for non-normality, for specified confidence level.

1	CornishFisherES(mu, sigma, skew, kurtosis, cl)

`mu`	Mean of P/L distribution
`sigma`	Variance of of P/L distribution
`skew`	Skew of P/L distribution
`kurtosis`	Kurtosis of P/L distribution
`cl`	ES confidence level

Expected Shortfall

Dinesh Acharya

Dowd, K. Measuring Market Risk, Wiley, 2007.

Zangri, P. A VaR methodology for portfolios that include options. RiskMetrics Monitor, First quarter, 1996, p. 4-12.

1 2	# Estimates Cornish-Fisher ES for given parameters CornishFisherES(3.2, 5.6, 2, 3, .9)

Dowd documentation built on May 2, 2019, 10:16 a.m.

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