bvar: Beyond Value At Risk Due To Longin (2001)
In Risk: Computes 26 Financial Risk Measures for Any Continuous Distribution
Description
Usage
Arguments
Value
Author(s)
References
Examples
Description
Computes beyond value at risk for a given ditribution
Usage
1
Arguments
spec
a character string specifying the distribution (for example, "norm" corresponds to the standard normal)
alpha
the probabilities associated with beyon values at risk
a
the lower end point of the distribution specified by spec
...
other parameters
Value
An object of the same length as alpha, giving beyond values ar risk computed.
Author(s)
Stephen Chan, Saralees Nadarajah
References
S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted
F. M. Longin,
Beyond the VaR,
Journal of Derivatives, 8, 2001, 36-48
<DOI:10.3905/jod.2001.319161>
Examples
1
Risk documentation built on May 2, 2019, 3:34 p.m.
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Description Usage Arguments Value Author(s) References Examples
Description
Computes beyond value at risk for a given ditribution
Usage
1 |
Arguments
spec |
a character string specifying the distribution (for example, "norm" corresponds to the standard normal) |
alpha |
the probabilities associated with beyon values at risk |
a |
the lower end point of the distribution specified by |
... |
other parameters |
Value
An object of the same length as alpha, giving beyond values ar risk computed.
Author(s)
Stephen Chan, Saralees Nadarajah
References
S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted
F. M. Longin, Beyond the VaR, Journal of Derivatives, 8, 2001, 36-48 <DOI:10.3905/jod.2001.319161>
Examples
1 |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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