analyticES: analyticES

In f-kailin/varmonitor: Risk Management Tools: Value-at-Risk Monitor

Description

The function calculate the contribution in different scales to the portfolio Expected Shortfall.

Usage

analyticES(confidence, position, sigma, horizon = 1)

Arguments

confidence	Confidence interval. (e.g. "0.95" or a vector with different confidence interval)
position	Vector of positions in monetary terms.
sigma	Variance-covariance matrix of the whole portfolio.
horizon	Time horizon. (e.g. "daily: 1", "weekly: 5", "monthly: 22")

Details

Returns the marginal, component and relative component Expected Shortfall.
It is also scalable with vectors containing multiple confidence intervals.
Due to the multidimensional nature of this metric we would not suggest using multiple time horizon.

Value

"Delta ES", "Component ES" in monetary terms and "Relative-Component ES" in decimals.

Note

The function can be run for a portfolio with a single exposure, but there will be a single value for "Component ES" and "Relative-Component ES".
Reminder: the central assumption under this function states that underlying market variables is normally distributed. This involves assuming a model for the joint distribution of changes in the market variables and using historical data to estimate the model parameters.

Author(s)

Gatti Riccardo, Lin Francesco

References

Hull J.C. (2015): "Value-at-Risk and Expected Shortfall" in "Risk Management and Financial Institutions", Wiley.
Hull J.C. (2015): "Model-Building Approach" in "Risk Management and Financial Institutions", Wiley.
Jorion P. (2007): "Portfolio Risk: Analytical Methods" in "Value at Risk", McGraw-Hill.

See Also

parametricVaR parametricES analyticVaR

Examples

##
weights <- c(100000, -100000, 100000)
varcov <- matrix(c(0.05, 0.03, 0.01, 0.03, 0.04, 0.02, 0.01, 0.02, 0.03), nrow = 3)
analyticES(c(0.95, 0.99, 0.999), weights, varcov, 5)
##
analyticES(.99, weights, varcov)
## NOT RUN
analyticES(.99, weights, varcov, c(1, 5))

f-kailin/varmonitor documentation built on Dec. 20, 2021, 7:39 a.m.