est_var: Estimate the Value at Risk (VaR)
In portvine: Vine Based (Un)Conditional Portfolio Risk Measure Estimation
View source: R/risk_measures.R
est_var R Documentation
Estimate the Value at Risk (VaR)
Description
The VaR is defined as the empirical \alpha level quantile of the
empirical distribution based on a return sample.
Usage
est_var(sample, alpha)
Arguments
sample
Numeric vector representing the sample upon which the Value at
Risk is calculated.
alpha
Numeric vector with entries in (0,1) specifying the levels at
which the VaR is calculated.
Value
Numeric vector with VaR estimates
(same length as alpha).
See Also
est_es()
Examples
est_var(0:100, c(0.1, 0.2, 0.3))
portvine documentation built on May 29, 2024, 2:27 a.m.
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View source: R/risk_measures.R
| est_var | R Documentation |
Estimate the Value at Risk (VaR)
Description
The VaR is defined as the empirical \alpha level quantile of the
empirical distribution based on a return sample.
Usage
est_var(sample, alpha)
Arguments
sample |
Numeric vector representing the sample upon which the Value at Risk is calculated. |
alpha |
Numeric vector with entries in (0,1) specifying the levels at which the VaR is calculated. |
Value
Numeric vector with VaR estimates
(same length as alpha).
See Also
est_es()
Examples
est_var(0:100, c(0.1, 0.2, 0.3))
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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