param_cvar: Parametric Conditional Value At Risk
In maxto/qapi: Low-level functions for quantitative analysis
param_cvar R Documentation
Parametric Conditional Value At Risk
Description
Parametric Conditional Value-At-Risk. More sensitive to the shape of the loss distribution in the tails.
Also known as Expected Shortfall (ES), Expected Tail Loss (ETL).
Usage
param_cvar(mu = 0, sigma = 1, p = 0.95)
Arguments
mu
mean value
sigma
standard deviation
p
confidence level
Value
numeric
Examples
xx <- c(0.003,0.026,0.015,-0.009,-0.014,-0.024,0.015,0.066,-0.014,0.039)
param_cvar(mean(xx),sd(xx))
maxto/qapi documentation built on Feb. 1, 2024, 9:42 a.m.
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| param_cvar | R Documentation |
Parametric Conditional Value At Risk
Description
Parametric Conditional Value-At-Risk. More sensitive to the shape of the loss distribution in the tails. Also known as Expected Shortfall (ES), Expected Tail Loss (ETL).
Usage
param_cvar(mu = 0, sigma = 1, p = 0.95)
Arguments
mu |
mean value |
sigma |
standard deviation |
p |
confidence level |
Value
numeric
Examples
xx <- c(0.003,0.026,0.015,-0.009,-0.014,-0.024,0.015,0.066,-0.014,0.039)
param_cvar(mean(xx),sd(xx))
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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