esr_loss: Joint Loss Function

Description Usage Arguments References

View source: R/loss_functions.R

Description

Computes the joint (VaR, ES) loss

Usage

1
esr_loss(r, q, e, alpha, g1 = 2L, g2 = 1L, return_mean = TRUE)

Arguments

r

Vector of returns

q

Vector of quantiles

e

Vector of expected shortfalls

alpha

Probability level

g1

1, 2, see G1_fun

g2

1, 2, 3, 4, 5, see G2_curly_fun, G2_fun

return_mean

If TRUE returns the average tick loss, else the individual values

References

Fissler and Ziegel (2016)


esreg documentation built on Nov. 16, 2019, 1:07 a.m.