ES.cont-methods: Risk Contributions to Expected Shortfall
In GCPM: Generalized Credit Portfolio Model
Description
Usage
Arguments
Value
See Also
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
GCPM documentation built on May 1, 2019, 8:50 p.m.
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Description Usage Arguments Value See Also
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 |
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
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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