hs: Nonparametric calculation of univariate Value at Risk and...

Description Usage Arguments Value Examples

View source: R/hs.R

Description

Computes Value at Risk and Expected Shortfall (Conditional Value at Risk) by means of plain and age-weighted historical simulation.

Usage

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hs(x, p = 0.975, method = c("age", "plain"), lambda = 0.98)

Arguments

x

a numeric vector of asset returns

p

confidence level for VaR calculation; default is 0.975

method

method to be used for calculation; default is 'plain'

lambda

decay factor for the calculation of weights; default is 0.98

Value

Returns a list with the following elements:

VaR

Calculated Value at Risk

ES

Calculated Expected Shortfall (Conditional Value at Risk)

Examples

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prices <- DAX30$price.close
returns <- diff(log(prices))
hs(x = returns, p = 0.975, method = 'plain')
hs(x = returns, p = 0.975, method = 'age', lambda = 0.98)

quarks documentation built on Sept. 6, 2021, 9:07 a.m.