Determines capital requirements based on risk measures (StD, VaR, EL, ELD, ES, SDR, EVaR, DEVaR, ENT, DENT, ML) given initial capital and time period.
1 |
x |
a vector of observations. |
M |
a numeric representing initial capital. |
T |
a numeric representing the period capital is required. |
alpha |
a vector of probabilities for significance level. |
beta |
a positive risk aversion parameter. |
p |
a positive value for the power of deviation terms. |
A matrix with values of required capital for each risk measure at all probabilities of interest.
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