expected_shortfall: Expected Shortfall

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Computes portfolio conditional Value-at-Risk (Expected Tail Loss) at a given confidence interval. Computation employs distribution's skewness and kurtosis to account for non-normality.

Usage

expected_shortfall(asset, confidenceInterval)

Arguments

asset	Portfolio or Position object created using portfolio_create( ) or position_add( ) function
confidenceInterval	Confidence interval (in decimals) to be used as a cut-off point

Value

Metric object

Note

https://www.portfolioeffect.com/docs/glossary/measures/tail-risk-measures/cvar

Author(s)

Kostin Andrey <[e-mail]>

See Also

value_at_risk

Examples

## Not run: 
data(aapl.data) 
data(goog.data) 
data(spy.data) 
portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
result=compute(expected_shortfall(portfolio,0.95),expected_shortfall(positionGOOG,0.95),
expected_shortfall(positionAAPL,0.95)) 
plot(expected_shortfall(portfolio,0.95),expected_shortfall(positionGOOG,0.95),
expected_shortfall(positionAAPL,0.95),legend=c('Portfolio','GOOG','AAPL'),
title='Expected Shortfall')

dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)
portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
resultsSamplingInterval='60s')
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300) 
positionGOOG=position_add(portfolio,'GOOG',150) 
result=compute(expected_shortfall(positionC,0.95),expected_shortfall(positionGOOG,0.95),
expected_shortfall(positionAAPL,0.95)) 
plot(expected_shortfall(positionC,0.95),expected_shortfall(positionGOOG,0.95),
expected_shortfall(positionAAPL,0.95),legend=c('C','GOOG','AAPL'),
title='Expected Shortfall')

## End(Not run)

PortfolioEffectHFT documentation built on May 2, 2019, 11:52 a.m.