Nothing
# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# FUNCTION: DESCRIPTION:
# VaR Computes Value-at-Risk
# CVaR Computes Conditional Value-at-Risk
################################################################################
VaR =
function(x, alpha = 0.05, type = "sample", tail = c("lower", "upper"))
{ # A function implemented by Diethelm Wuertz
# Description:
# Computes Value-at-Risk
# Arguments:
# x - an uni- or multivariate timeSeries object
# alpha - a numeric value, the confidence interval
# type - a character string, the type to calculate the value-at-risk
# tail - a character string denoting which tail will be
# considered, either \code{"lower"} or \code{"upper"}.
# If \code{tail="lower"}, then alpha will be converted to
# \code{alpha=1-alpha}.
# FUNCTION:
# Settings:
x = as.matrix(x)
tail = match.arg(tail)
# Value-at-Risk:
if (type == "sample") {
if (tail == "upper") alpha = 1-alpha
# Important: use type=1 !
VaR = quantile(x, probs = alpha, type = 1)
} else if (type == "gpd") {
VaR = "Not yet Implemented"
} else if (type == "obre") {
VaR = "Not yet Implemented"
}
# Return Value:
VaR
}
# ------------------------------------------------------------------------------
CVaR =
function(x, alpha = 0.05, type = "sample", tail = c("lower", "upper"))
{
# A function implemented by Diethelm Wuertz
# Description:
# Computes Conditional Value-at-Risk
# Arguments:
# x - an uni- or multivariate timeSeries object
# alpha - a numeric value, the confidence interval
# type - a character string, the type to calculate the value-at-risk
# tail - a character string denoting which tail will be considered,
# either "lower" or upper", if tail="lower", then alpha will be
# converted to alpha=1-alpha.
# FUNCTION:
# Settings:
x = as.matrix(x)
tail = match.arg(tail)
# Sample VaR:
VaR = VaR(x, alpha, type, tail)
# Sample CVaR:
if (tail == "upper") alpha = 1-alpha
if (type == "sample") {
CVaR = NULL
for (i in 1:ncol(x)) {
X = as.vector(x[, i])
CVaR = c(CVaR,
VaR[i] - 0.5 * mean(((VaR[i]-X) + abs(VaR[i]-X))) / alpha )
}
}
# Return Value:
CVaR
}
################################################################################
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.