Description Usage Arguments Value Examples

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

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`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. |

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

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

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