volaToExpectedShortfall: Transform normal volatility in expected shortfall

Description Usage Arguments Value

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

Description

function to compute expected shortfall from volatility for normal random variables.

Usage

1
volaToExpectedShortfall(x, alpha = 0.01, sup = F, ...)

Arguments

x

a numeric vector of positive volatilities.

alpha

a numeric value. The alpha-Expected Shortfall, must take values between 0 and 1.

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 vector, the expected shortfalls.


sstModel documentation built on May 4, 2018, 1:04 a.m.