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 GCPM

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]