UPM.VaR: UPM VaR

Description Usage Arguments Value Examples

View source: R/LPM_UPM_VaR.R

Description

Generates an upside VaR based on the Upper Partial Moment ratio

Usage

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

Arguments

percentile

numeric [0,1]; The percentile for right-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 below.

Examples

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

NNS documentation built on Aug. 16, 2017, 1:06 a.m.