EC.cont-methods {GCPM} | R Documentation |
Risk Contributions to Economic Capital
Description
Calculate contributions to the economic capital on portfolio level for each
portfolio position. In case of a simulative model, the risk contributions are
calculated as contributions to expected shortfall on a lower loss level
\tau
, such that ES(\tau
) is as close as possible to EC(\alpha
).
Furthermore, in case of a simulative model, loss scenarios above a predefined
threshold (loss.thr
) are analyzed in order to calculate the risk
contributions. If loss.thr
is too high (depending on value of alpha
)
the calculation will be not possible.
Usage
EC.cont(this,alpha)
Arguments
this |
Object of class |
alpha |
numeric vector of loss levels between 0 and 1 |
Value
numeric matrix with number of rows equal to number of counterparties within the portfolio and number of columns equal to length(alpha)
See Also
[Package GCPM version 1.2.2 Index]