Risk Contributions to Economic Capital
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
loss.thr) are analyzed in order to calculate the risk
loss.thr is too high (depending on value of
the calculation will be not possible.
Object of class
numeric vector of loss levels between 0 and 1
numeric matrix with number of rows equal to number of counterparties within the portfolio and number of columns equal to
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