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
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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