esr_loss {esreg} | R Documentation |
Joint Loss Function
Description
Computes the joint (VaR, ES) loss
Usage
esr_loss(r, q, e, alpha, g1 = 2L, g2 = 1L, return_mean = TRUE)
Arguments
r |
Vector of returns |
q |
Vector of quantiles |
e |
Vector of expected shortfalls |
alpha |
Probability level |
g1 |
1, 2, see G1_fun |
g2 |
1, 2, 3, 4, 5, see G2_curly_fun, G2_fun |
return_mean |
If TRUE returns the average tick loss, else the individual values |
References
Fissler and Ziegel (2016)
[Package esreg version 0.6.2 Index]