ES-methods {GCPM} | R Documentation |
Expected Shortfall
Description
Get the value of the expected shortfall for the portfolio on level(s)
alpha
Usage
ES(this,alpha)
Arguments
this |
Object of class |
alpha |
numeric vector of loss levels between 0 and 1 |
Value
numeric vector of length equal to length(alpha)
.
[Package GCPM version 1.2.2 Index]