GParetoES: Expected Shortfall for Generalized Pareto

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

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

Usage

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

# 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 2, 2019, 10:16 a.m.