expectedShortfall: Compute the Expected Shortfall

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

function to compute the alpha-Expected Shortfall of a vector.

Usage

expectedShortfall(x, alpha = 0.01, sup = F, ...)

Arguments

x	a numeric vector. The vector from which to compute the expected shortfall.
alpha	a numeric value. The alpha-Expected Shortfall, must take values between 0 and 1. Please note that alpha represents the mass lying below the alpha quantile of x in the case sup = FALSE or the mass lying above the 1-alpha quantile of x in the other case sup = TRUE
sup	a logical value. If TRUE the function returns the upper expected shortfall and otherwise the lower. Default is set to FALSE.
...	additional parameters.

Value

a numeric value. The expected shortfall.

Note

Please consider that we include the boundary value into the empirical mean estimation.

sstModel documentation built on May 2, 2019, 12:16 p.m.