risk.req: Computes capital requirements based on risk measures

Description Usage Arguments Value Examples

Description

Determines capital requirements based on risk measures (StD, VaR, EL, ELD, ES, SDR, EVaR, DEVaR, ENT, DENT, ML) given initial capital and time period.

Usage

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risk.req(x, M = 10^6, T = 1, alpha = c(0.05), beta = 1, p = 2)

Arguments

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.

Value

A matrix with values of required capital for each risk measure at all probabilities of interest.

Examples

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## computes capital requirement for a position of U$ 1,000 on SP500 for five days

data(returns)
s <- returns[, 2]
risk.req(s, 1000, 5, c(0.01, 0.05))


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