risk_measure: Risk measure

Description Usage Arguments Author(s) Examples

View source: R/risk_measure.R

Description

This function allows you to calculate VaR and ES for a specified conditional distribution with p = 0.05, 0.01, 0.001, .0001

Usage

1
risk_measure(mu, sigma, cond.dist = "norm", df = 0)

Arguments

mu

mean of portfolio return

sigma

standard deviation of portfolio std

cond.dist

distribution, "norm", "t", "std", default is norm

df

shape parameter

Author(s)

Ruey S. Tsay

Examples

1
risk_measure(0, 0.05, "norm")

Alfred-Zhang/ResearchTools documentation built on Nov. 23, 2017, 1:54 a.m.