LPM.VaR: LPM VaR

Description Usage Arguments Value Note Author(s) References Examples

Description

Generates a VaR based on the Lower Partial Moment ratio

Usage

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LPM.VaR(percentile, degree, x, extend = NULL)

Arguments

percentile

numeric [0,1]; The percentile for left-tail VaR.

degree

integer; (degree=0) for discrete distributions, (degree=1) for continuous distributions.

x

a numeric vector.

extend

options: ("yes",NULL); NULL (default) Sets the "extendInt" argument from uniroot.

Value

Returns a numeric value representing the point at which "percentile" of the area of x is above.

Note

If endpoint error is generated, set (extend="yes").

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" http://amzn.com/1490523995

Examples

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set.seed(123)
x<-rnorm(100)
## For 95th percentile VaR (left-tail)
LPM.VaR(0.95,0,x)


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