tcm: Tail Conditional Mean Due To Kou et al. (2013)
In Risk: Computes 26 Financial Risk Measures for Any Continuous Distribution
Description
Usage
Arguments
Value
Author(s)
References
Examples
Description
Computes tail conditional median 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 tail conditional median
...
other parameters
Value
An object of the same length as alpha, giving tail conditional medians computed.
Author(s)
Stephen Chan, Saralees Nadarajah
References
S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted
S. Kou, X. Peng and C. C. Heyde,
External risk measures and Basel accords, Mathematics of Operations Research, 38, 2013, 393-417
<DOI:10.1287/moor.1120.0577>
Examples
1
tcm("norm", 0.9)
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 tail conditional median 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 tail conditional median |
... |
other parameters |
Value
An object of the same length as alpha, giving tail conditional medians computed.
Author(s)
Stephen Chan, Saralees Nadarajah
References
S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted
S. Kou, X. Peng and C. C. Heyde, External risk measures and Basel accords, Mathematics of Operations Research, 38, 2013, 393-417 <DOI:10.1287/moor.1120.0577>
Examples
1 | tcm("norm", 0.9)
|
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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