VaR-methods {GCPM} | R Documentation |
Portfolio Value at Risk
Description
Calculate the portfolio value at risk on level(s) alpha
.
Usage
VaR(this,alpha)
Arguments
this |
Object of class |
alpha |
numeric vector with entries between 0 and 1 |
Value
numeric value of length equal to length of alpha
[Package GCPM version 1.2.2 Index]