R/series_var_cvar.R

In veldanie/SuraInvestmentAnalytics: Investment Analytics

#' Value at Risk and Conditional Value at risk.
#'
#' Estimates losses distribution, VaR amd CVaR.
#' @param series returns series.
#' @param quant Quantile.
#' @param normal Indicator if returns are normaly distributed.
#' @return Losses distribution, covar matrix, volatility, VaR and CVaR.
#' @export

series_var_cvar <- function(series, quant, normal = FALSE) {
  if(nrow(series) > 1){
    neg_rets <- -1 * series
    vol <- sd(series)

    if(normal){
      var <- qnorm(quant) * vol
      cvar <- dnorm(qnorm(quant))/(1-quant) * vol
    }else{
      var <- quantile(neg_rets, probs = quant)
      cvar <- sapply(var, function(x) mean(neg_rets[neg_rets > x]))
    }
  }else{
    neg_rets <- vol <- var <- cvar <- NA
  }
  return(list(neg_rets = neg_rets, vol = vol, var = var, cvar = cvar))
}