VaRetnts: VaRetnts

In aaron9011/temStaR-v0.90: Tempered Stable Distribution

VaRetnts

Description

VaRetnts calculates Conditional Value at Risk (CVaR, or expected shortfall ES) of the NTS market model with parameters (\alpha, \theta, \beta, \gamma, \mu). If only three parameters are given, it calculates CVaR of the standard NTS distribution with parameter (\alpha, \theta, \beta)

Usage

VaRetnts(eps, ntsparam)

Arguments

eps	the significant level for CVaR. Real value between 0 and 1.
ntsparam	A vector of the NTS parameters (\alpha, \theta, \beta, \gamma, \mu). A vector of the standard NTS parameters (\alpha, \theta, \beta).

Value

Value at Return of the NTS distribution.

References

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

Examples

library("temStaR")
alpha <- 1.2
theta <- 1
beta <- -0.2
ntsparam <- c(alpha, theta, beta)
u <- c(0.01,0.05)
q <- VaRetnts(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 <- VaRetnts(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 <- VaRetnts(u, ntsparam)

aaron9011/temStaR-v0.90 documentation built on June 1, 2025, 4:15 p.m.