VaR.cont-methods: Risk Contributions to Portfolio Value at Risk
In GCPM: Generalized Credit Portfolio Model
Description
Usage
Arguments
Value
See Also
Description
Get the counterparties' contributions to portfolio value at risk
(see GCPM-class). In case of a simulative model, these values are
calculated from individual losses greater or equal loss.thr
(see init). Contributions are not available if loss.thr is too high.
Usage
1
VaR.cont(this,alpha)
Arguments
this
Object of class GCPM
alpha
numeric vector with entries between 0 and 1
Value
numeric matrix
See Also
GCPM documentation built on May 1, 2019, 8:50 p.m.
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Description Usage Arguments Value See Also
Description
Get the counterparties' contributions to portfolio value at risk
(see GCPM-class). In case of a simulative model, these values are
calculated from individual losses greater or equal loss.thr
(see init). Contributions are not available if loss.thr is too high.
Usage
1 | VaR.cont(this,alpha)
|
Arguments
this |
Object of class |
alpha |
numeric vector with entries between 0 and 1 |
Value
numeric matrix
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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