es_historical: Expected Shortfall using the historical simulation approach
In dandermotj/mmr: Measuring Market Risk
Description
Usage
Arguments
Value
Description
Estimates the ES by averaging the losses in the tail. Holding time
is inferred by the frequency of the data.
Usage
1
es_historical(x, conf = 0.95)
Arguments
x
P/L data
conf
confidence level
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
Estimates the ES by averaging the losses in the tail. Holding time is inferred by the frequency of the data.
Usage
1 | es_historical(x, conf = 0.95)
|
Arguments
x |
P/L data |
conf |
confidence level |
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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