val_at_risk: Value at Risk
In alejandro-sotolongo/InvestmentSuite: Investment Asset and Portfolio Time-Series Analysis
Description
Usage
Arguments
Details
View source: R/QuantAnalysis.R
Description
Value at Risk
Usage
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val_at_risk(
ret,
p = 0.05,
type = c("historical", "modified", "normal", "stable")
)
Arguments
ret
data.frame containing return time-series
p
numeric percentile for VaR tail
type
string to specify calculation type: historical,
modified, normal, or stable, see details
Details
type historical calculates an emperical VaR from the time-series
observations. The other methods are parametrical. modified uses a
Cornish-Fisher expansion to consider skew and kurtosis. normal approximates
using a Guassian distribution. stable approximates using a stable
distribution. See fBasics::stableFit for more info.
alejandro-sotolongo/InvestmentSuite documentation built on Jan. 19, 2020, 5:20 p.m.
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Description Usage Arguments Details
View source: R/QuantAnalysis.R
Description
Value at Risk
Usage
1 2 3 4 5 | val_at_risk(
ret,
p = 0.05,
type = c("historical", "modified", "normal", "stable")
)
|
Arguments
ret |
data.frame containing return time-series |
p |
numeric percentile for VaR tail |
type |
string to specify calculation type: |
Details
type historical calculates an emperical VaR from the time-series
observations. The other methods are parametrical. modified uses a
Cornish-Fisher expansion to consider skew and kurtosis. normal approximates
using a Guassian distribution. stable approximates using a stable
distribution. See fBasics::stableFit for more info.
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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