GParetoES: Expected Shortfall for Generalized Pareto

Description Usage Arguments Value Author(s) References Examples

View source: R/GParetoES.R

Description

Estimates the ES of a portfolio assuming losses are distributed as a generalised Pareto.

Usage

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GParetoES(Ra, beta, zeta, threshold.prob, cl)

Arguments

Ra

Vector of daily Profit/Loss data

beta

Assumed scale parameter

zeta

Assumed tail index

threshold.prob

Threshold probability

cl

VaR confidence level

Value

Expected Shortfall

Author(s)

Dinesh Acharya

References

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

McNeil, A., Extreme value theory for risk managers. Mimeo, ETHZ, 1999.

Examples

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# Computes ES assuming generalised Pareto for following parameters
   Ra <- 5 * rnorm(100)
   beta <- 1.2
   zeta <- 1.6
   threshold.prob <- .85
   cl <- .99
   GParetoES(Ra, beta, zeta, threshold.prob, cl)

Dowd documentation built on May 30, 2017, 1:30 a.m.