Description Usage Arguments Value References Examples
cvarnts
calculates Conditional Value at Risk (CVaR, or expected shortfall ES)
of the NTS market model with parameters (α, θ, β, γ, μ).
If only three parameters are given, it calculates CVaR
of the standard NTS distribution with parameter (α, θ, β)
1 | cvarnts(eps, ntsparam)
|
eps |
the significant level for CVaR. Real value between 0 and 1. |
ntsparam |
A vector of the NTS parameters (α, θ, β, γ, μ). A vector of the standard NTS parameters (α, θ, β). |
CVaR of the NTS distribution.
Y. S. Kim, S. T. Rachev, M. L. Bianchi, and F. J. Fabozzi (2010), Computing VaR and AVaR in infinitely divisible distributions, Probability and Mathematical Statistics, 30 (2), 223-245.
S. T. Rachev, Y. S. Kim, M. L. Bianchi, and F. J. Fabozzi (2011), Financial Models with Levy Processes and Volatility Clustering, John Wiley & Sons
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 | library("temStaR")
alpha <- 1.2
theta <- 1
beta <- -0.2
ntsparam <- c(alpha, theta, beta)
u <- c(0.01,0.05)
q <- cvarnts(u, ntsparam)
alpha <- 1.2
theta <- 1
beta <- -0.2
gamma <- 0.3
mu <- 0.1
ntsparam <- c(alpha, theta, beta, gamma, mu)
u <- c(0.01,0.05)
q <- cvarnts(u, ntsparam)
#Annual based parameters
alpha <- 1.2
theta <- 1
beta <- -0.2
gamma <- 0.3
mu <- 0.1
#scaling annual parameters to one day
dt <- 1/250 #one day
ntsparam <- c(alpha, theta, beta, gamma, mu, dt)
u <- c(0.01,0.05)
q <- cvarnts(u, ntsparam)
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