risk_atrib | R Documentation |
Estimates risk attributions per factor for volatility, VaR and CVaR assuming normality..
risk_atrib(series, w, quant, normal = FALSE)
series |
Portfolio weights. |
w |
Portfolio weights. |
quant |
Quantile |
covar_mat |
Covariance matrix |
Losses distribution, VaR and CVaR.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.