ValueAtRisk {fExtremes}

Value-at-Risk

Description

A collection and description of functions to compute Value-at-Risk and conditional Value-at-Risk

The functions are:

VaR	Computes Value-at-Risk,
CVaR	Computes conditional Value-at-Risk.

Usage

VaR(x, alpha = 0.05, type = "sample", tail = c("lower", "upper"))
CVaR(x, alpha = 0.05, type = "sample", tail = c("lower", "upper"))

Arguments

x

an uni- or multivariate timeSeries object

alpha

a numeric value, the confidence interval.

type

a character string, the type to calculate the value-at-risk.

tail

a character string denoting which tail will be considered, either "lower" or "upper". If tail="lower", then alpha will be converted to alpha=1-alpha.

Value

VaR
CVaR

returns a numeric vector or value with the (conditional) value-at-risk for each time series column.

Author(s)

Diethelm Wuertz for this R-port.

See Also

hillPlot, gevFit.