Description Usage Arguments Value Author(s) References Examples
Estimates the ES of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period. Note that the long-right-hand tail is fitted to losses, not profits.
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mu |
Location parameter for daily L/P |
sigma |
Assumed scale parameter for daily L/P |
n |
Assumed block size from which the maxima are drawn |
cl |
VaR confidence level |
hp |
VaR holding period |
Estimated ES. If cl and hp are scalars, it returns scalar VaR. If cl is vector and hp is a scalar, or viceversa, returns vector of VaRs. If both cl and hp are vectors, returns a matrix of VaRs.
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
National Institute of Standards and Technology, Dataplot Reference Manual. Volume 1: Commands. NIST: Washington, DC, 1997, p. 8-67.
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