Description Usage Arguments Value Author(s) References Examples
Function estimates the ES for near-normal P/L using the Cornish-Fisher adjustment for non-normality, for specified confidence level.
1 | CornishFisherES(mu, sigma, skew, kurtosis, cl)
|
mu |
Mean of P/L distribution |
sigma |
Variance of of P/L distribution |
skew |
Skew of P/L distribution |
kurtosis |
Kurtosis of P/L distribution |
cl |
ES confidence level |
Expected Shortfall
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
Zangri, P. A VaR methodology for portfolios that include options. RiskMetrics Monitor, First quarter, 1996, p. 4-12.
1 2 | # Estimates Cornish-Fisher ES for given parameters
CornishFisherES(3.2, 5.6, 2, 3, .9)
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