Description Usage Arguments Value Author(s) References Examples
Estimates the EV VaR of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period.
1 |
mu |
Location parameter for daily L/P |
sigma |
Assumed scale parameter for daily L/P |
n |
Size from which the maxima are drawn |
cl |
VaR confidence level |
hp |
VaR holding period |
Estimated VaR
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 |
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