Description Usage Arguments Value Author(s) References Examples
Estimates the ES of a portfolio assuming losses are distributed as a generalised Pareto.
1 |
Ra |
Vector of daily Profit/Loss data |
beta |
Assumed scale parameter |
zeta |
Assumed tail index |
threshold.prob |
Threshold probability |
cl |
VaR confidence level |
Expected Shortfall
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
McNeil, A., Extreme value theory for risk managers. Mimeo, ETHZ, 1999.
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