volaToExpectedShortfall: Transform normal volatility in expected shortfall

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

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

Usage

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 2, 2019, 12:16 p.m.