ES.cont-methods {GCPM}

Risk Contributions to Expected Shortfall

Description

Calculate contributions to the expected shortfall on portfolio level for each portfolio position. 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, calculation may be not possible (depending on value of alpha).

Usage

ES.cont(this,alpha)

Arguments

this

Object of class GCPM

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

loss.thr