risk.req: Computes capital requirements based on risk measures

In riskR: Risk Management

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

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

## 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))

Example output

             1%        5%
StD   15.641447 15.641447
VaR   46.654062 27.252957
EL    -1.520700 -1.520700
ELD   10.197154 10.197154
ES    50.214407 37.019179
SDR   50.517831 38.568132
EVaR  31.333121 18.525943
DEVaR 33.630478 23.247002
ENT   -1.466041 -1.466041
DENT  10.224504 10.224504
ML    56.636080 56.636080

riskR documentation built on May 2, 2019, 1:43 p.m.