Risk Contributions to Economic Capital

Description

Calculate contributions to the economic capital on portfolio level for each portfolio position. In case of a simulative model, the risk contributions are calculated as contributions to expected shortfall on a lower loss level τ, such that ES(τ) is as close as possible to EC(α). Furthermore, in case of a simulative model, loss scenarios above a predefined threshold (loss.thr) are analyzed in order to calculate the risk contributions. If loss.thr is too high (depending on value of alpha) the calculation will be not possible.

Usage

1
EC.cont(this,alpha)

Arguments

this

Object of class GCPM

alpha

numeric vector of loss levels between 0 and 1

Value

numeric matrix with number of rows equal to number of counterparties within the portfolio and number of columns equal to length(alpha)

See Also

loss.thr

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