bvar {Risk}

Beyond Value At Risk Due To Longin (2001)

Description

Computes beyond value at risk for a given ditribution

Usage

bvar(spec, alpha, a, ...)

Arguments

spec

a character string specifying the distribution (for example, "norm" corresponds to the standard normal)

alpha

the probabilities associated with beyon values at risk

a

the lower end point of the distribution specified by spec

...

other parameters

Value

An object of the same length as alpha, giving beyond values ar risk computed.

Author(s)

Stephen Chan, Saralees Nadarajah

References

S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted

F. M. Longin, Beyond the VaR, Journal of Derivatives, 8, 2001, 36-48 <DOI:10.3905/jod.2001.319161>

Examples

bvar("norm", 0.9, a=-Inf)