risk.roll: Computes risk measures through rolling scheme

In riskR: Risk Management

Description

Computes risk measures (StD, VaR, EL, ELD, ES, SDR, EVaR, DEVaR, ENT, DENT, ML) from empirical data using a rolling estimation window.

Usage

risk.roll(x, N = length(x) - 1, alpha = c(0.05), beta = 1, p = 2)

Arguments

x	a vector of observations.
N	an integer representing estimation window size. Very small values are not recommended.
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

An array with values for each risk measure at all probabilities of interest for every point of the rolling scheme.

Examples

## computes risk measures for SP500 using one year of daily data.

data(returns)
s <- returns[, 2]
risk.roll(s, 250, c(0.01, 0.05))

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