GParetoES {Dowd} | R Documentation |
Expected Shortfall for Generalized Pareto
Description
Estimates the ES of a portfolio assuming losses are distributed as a generalised Pareto.
Usage
GParetoES(Ra, beta, zeta, threshold.prob, cl)
Arguments
Ra |
Vector of daily Profit/Loss data |
beta |
Assumed scale parameter |
zeta |
Assumed tail index |
threshold.prob |
Threshold probability |
cl |
VaR confidence level |
Value
Expected Shortfall
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
McNeil, A., Extreme value theory for risk managers. Mimeo, ETHZ, 1999.
Examples
# Computes ES assuming generalised Pareto for following parameters
Ra <- 5 * rnorm(100)
beta <- 1.2
zeta <- 1.6
threshold.prob <- .85
cl <- .99
GParetoES(Ra, beta, zeta, threshold.prob, cl)
[Package Dowd version 0.12 Index]