Expected Shortfall of a portfolio using Historical Estimator

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Description

Estimates the Expected Shortfall (aka. Average Value at Risk or Conditional Value at Risk) using historical estimator approach for the specified confidence level and the holding period implies by data frequency.

Usage

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HSES(Ra, cl)

Arguments

Ra

Vector corresponding to profit and loss distribution

cl

Number between 0 and 1 corresponding to confidence level

Value

Expected Shortfall of the portfolio

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Cont, R., Deguest, R. and Scandolo, G. Robustness and sensitivity analysis of risk measurement procedures. Quantitative Finance, 10(6), 2010, 593-606.

Acerbi, C. and Tasche, D. On the coherence of Expected Shortfall. Journal of Banking and Finance, 26(7), 2002, 1487-1503

Artzner, P., Delbaen, F., Eber, J.M. and Heath, D. Coherent Risk Measures of Risk. Mathematical Finance 9(3), 1999, 203.

Foellmer, H. and Scheid, A. Stochastic Finance: An Introduction in Discrete Time. De Gryuter, 2011.

Examples

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# Computes Historical Expected Shortfall for a given profit/loss
   # distribution and confidence level
   a <- rnorm(100) # generate a random profit/loss vector
   HSES(a, 0.95)

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