ES-methods: Expected Shortfall

Description Usage Arguments Value

Description

Get the value of the expected shortfall for the portfolio on level(s) alpha

Usage

1
ES(this,alpha)

Arguments

this

Object of class GCPM

alpha

numeric vector of loss levels between 0 and 1

Value

numeric vector of length equal to length(alpha).


GCPM documentation built on May 29, 2017, 11:49 a.m.

Search within the GCPM package
Search all R packages, documentation and source code