risk_atrib: Estimates risk attributions per factor for volatility, VaR...
In veldanie/SuraInvestmentAnalytics: Investment Analytics
risk_atrib R Documentation
Estimates risk attributions per factor for volatility, VaR and CVaR assuming normality.
Description
Estimates risk attributions per factor for volatility, VaR and CVaR assuming normality..
Usage
risk_atrib(series, w, quant, normal = FALSE)
Arguments
series
Portfolio weights.
w
Portfolio weights.
quant
Quantile
covar_mat
Covariance matrix
Value
Losses distribution, VaR and CVaR.
veldanie/SuraInvestmentAnalytics documentation built on March 29, 2025, 7:43 p.m.
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| risk_atrib | R Documentation |
Estimates risk attributions per factor for volatility, VaR and CVaR assuming normality.
Description
Estimates risk attributions per factor for volatility, VaR and CVaR assuming normality..
Usage
risk_atrib(series, w, quant, normal = FALSE)
Arguments
series |
Portfolio weights. |
w |
Portfolio weights. |
quant |
Quantile |
covar_mat |
Covariance matrix |
Value
Losses distribution, VaR and CVaR.
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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