ES: Expected Shortfall

In QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts

Description

Functions for computing the expected shortfall derived from the Normal or Student's t distribution (see page 45 of QRM).

Usage

ESnorm(p, mu = 0, sd = 1)
ESst(p, mu = 0, sd = 1, df, scale = FALSE)

Arguments

p	numeric, probability
mu	numeric, location parameter
sd	numeric, scale parameter
df	numeric, degrees of freedom
scale	logical, scaling Student's t distribution to have variance one

Value

numeric

Examples

p <- c(0.95, 0.99)
s <- 0.2 * 10000 / sqrt(250)
ESnorm(p)
ESst(p, sd = s, df = 4, scale = TRUE)
ESst(p, df = 4)

Example output

Loading required package: gsl
Loading required package: Matrix
Loading required package: mvtnorm
Loading required package: numDeriv
Loading required package: timeSeries
Loading required package: timeDate

Attaching package: 'QRM'

The following object is masked from 'package:base':

    lbeta

[1] 2.062713 2.665214
[1] 286.4734 466.9432
[1] 3.202870 5.220584

QRM documentation built on April 14, 2020, 6:49 p.m.