es_normal: Expected Shortfall for normally distributed P/L

In dandermotj/mmr: Measuring Market Risk

Description

This function estimates the ES of a portfolio assuming P/L is normally distributed for a specified confidence level and holding period.

Usage

es_normal(mu, sigma, conf = 0.95, holding = 1)

Arguments

mu	mean daily P/L data
sigma	standard deviation of daily P/L data
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.