esreg (version 0.3.1)

esr_loss: Joint Quantile and Expected Shortfall 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)