Risk Contributions to Expected Shortfall

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Description

Calculate contributions to the expected shortfall on portfolio level for each portfolio position. 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, calculation may be not possible (depending on value of alpha).

Usage

1
ES.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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