es_cornishfisher: Expected Shortall using the Cornish Fisher adjustment for...
In dandermotj/mmr: Measuring Market Risk
Description
Usage
Arguments
Value
Description
Function estimates the ES for near normal P/L using the Cornish Fisher
adjustment for non-normality for specified confidence level.
Usage
1
es_cornishfisher(mu, sigma, skew, kurt, conf = 0.95)
Arguments
mu
mean daily P/L data
sigma
standard deviation of daily P/L data
skew
skewness
kurt
kurtosis
conf
the confidence level (double)
holding
the holding period in days (double)
Value
ES measure (numeric)
dandermotj/mmr documentation built on June 4, 2019, 9:26 p.m.
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Description Usage Arguments Value
Description
Function estimates the ES for near normal P/L using the Cornish Fisher adjustment for non-normality for specified confidence level.
Usage
1 | es_cornishfisher(mu, sigma, skew, kurt, conf = 0.95)
|
Arguments
mu |
mean daily P/L data |
sigma |
standard deviation of daily P/L data |
skew |
skewness |
kurt |
kurtosis |
conf |
the confidence level (double) |
holding |
the holding period in days (double) |
Value
ES measure (numeric)
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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