Description Usage Arguments Value Author(s) References Examples
Estimates the Value at Risk of a portfolio assuming losses are distributed as a generalised Pareto.
1 | GParetoVaR(Ra, beta, zeta, threshold.prob, cl)
|
Ra |
Vector of daily Profit/Loss data |
beta |
Assumed scale parameter |
zeta |
Assumed tail index |
threshold.prob |
Threshold probability corresponding to threshold u and x |
cl |
VaR confidence level |
Expected Shortfall
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
McNeil, A., Extreme value theory for risk managers. Mimeo, ETHZ, 1999.
1 2 3 4 5 6 7 | # Computes ES assuming generalised Pareto for following parameters
Ra <- 5 * rnorm(100)
beta <- 1.2
zeta <- 1.6
threshold.prob <- .85
cl <- .99
GParetoVaR(Ra, beta, zeta, threshold.prob, cl)
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Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
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