VaR: Value-at-Risk

In extrememix: Bayesian Estimation of Extreme Value Mixture Models

Value-at-Risk

Description

Computation of the Value-at-Risk for an extreme value mixture model.

Usage

VaR(x, ...)

## S3 method for class 'evmm'
VaR(x, values = NULL, cred = 0.95, ...)

Arguments

x	the output of a model estimated with extrememix
...	additional arguments for compatibility.
values	numeric vector of values of which to compute the value at risk.
cred	amplitude of the posterior credibility interval.

Details

The Value-at-Risk for level q\

Value

A list with the following entries:

• quantiles: a matrix containing the estimated value at risk, the posterior credibility intervals and the empirical estimate.

• data: the dataset used to estimate the value at risk.

• complete: a matrix with the value at risk for each value in the posterior sample.

References

Lattanzi, Chiara, and Manuele Leonelli. "A changepoint approach for the identification of financial extreme regimes." Brazilian Journal of Probability and Statistics.

See Also

ES, quant, return_level

Examples

VaR(rainfall_ggpd)

extrememix documentation built on Oct. 4, 2024, 5:09 p.m.