rc.vares-methods: Calculating risk contributions to VaR and ES
In crp.CSFP: CreditRisk+ Portfolio Model
Description
This method calculates the risk contributions on counterparty level to the value at risk (VaR), expected shortfall (ES) and the corresponding TAU. The confidence level that is taken is the last entry in the models alpha vector. It is necessary, that loss.dist was executed before, to compute and save required data.
See Also
loss.dist,
rc.sd,
export,
crp.CSFP-class,
crp.CSFP,
crp.CSFP documentation built on May 1, 2019, 8:50 p.m.
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Description
This method calculates the risk contributions on counterparty level to the value at risk (VaR), expected shortfall (ES) and the corresponding TAU. The confidence level that is taken is the last entry in the models alpha vector. It is necessary, that loss.dist was executed before, to compute and save required data.
See Also
loss.dist,
rc.sd,
export,
crp.CSFP-class,
crp.CSFP,
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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