risk.req: Computes capital requirements based on risk measures

Description Usage Arguments Value Examples

View source: R/risk.req.R

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))

riskR documentation built on May 30, 2017, 4:45 a.m.