LPM.VaR: LPM VaR

Description Usage Arguments Value Author(s) References Examples

View source: R/LPM_UPM_VaR.R

Description

Generates a VaR based on the Lower Partial Moment ratio

Usage

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LPM.VaR(percentile, degree, x)

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.

Value

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

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)

NNS documentation built on April 16, 2018, 5:06 p.m.