R/deriv_gh.R
In OpVaR: Statistical Methods for Modelling Operational Risk

deriv_gh <-
function(z,g,h) {
  if(g==0) exp(h*z^2*0.5)*(1+h*z^2)
  else exp(h*z^2*0.5)*(exp(g*z)+h*z*(exp(g*z)-1)/g)
}

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OpVaR documentation built on Sept. 8, 2021, 5:07 p.m.

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