esg: Expected Shortfall Due To Artzner et al. (1999)
In Risk: Computes 26 Financial Risk Measures for Any Continuous Distribution

Computes expected shortfall for a given ditribution

1	esg(spec, alpha, ...)

`spec`	a character string specifying the distribution (for example, "norm" corresponds to the standard normal)
`alpha`	the probabilities associated with expected shortfall
`...`	other parameters

An object of the same length as alpha, giving expected shortfall computed.

Stephen Chan, Saralees Nadarajah

S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted

P. Artzner, F. Delbaen, J. M. Eber and D. Heath, Coherent measures of risk, Mathematical Finance, 9, 1999, 203-228 <DOI:10.1111/1467-9965.00068>

1	esg("norm", 0.9)

Risk documentation built on May 2, 2019, 3:34 p.m.

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