expectedShortfall: Compute the Expected Shortfall

Description Usage Arguments Value Note

View source: R/helpers-sstModel-computation.R

Description

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

Usage

1
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 4, 2018, 1:04 a.m.