ComputeCVaR: Computes the conditional value at risk as it appears in A....
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Computes the conditional value at risk as it appears in
A. Meucci, "Fully Flexible Views: Theory and Practice",
The Risk Magazine, October 2008, p 100-106
Usage
1
ComputeCVaR(Units, Scenarios, Conf)
Arguments
Units
panel of joint factors realizations
Scenarios
vector of probabilities
Conf
Confidence
Value
CVaR Conditional Value at Risk
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice"
http://www.symmys.com/node/158 See Meucci script
for "ButterflyTrading/ComputeCVaR.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
Computes the conditional value at risk as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p 100-106
Usage
1 | ComputeCVaR(Units, Scenarios, Conf)
|
Arguments
Units |
panel of joint factors realizations |
Scenarios |
vector of probabilities |
Conf |
Confidence |
Value
CVaR Conditional Value at Risk
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "ButterflyTrading/ComputeCVaR.m"
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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