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. |
VaR(x, alpha = 0.05, type = "sample", tail = c("lower", "upper"))
CVaR(x, alpha = 0.05, type = "sample", tail = c("lower", "upper"))VaR
CVaR
returns a numeric vector or value with the (conditional) value-at-risk for each time series column.
an uni- or multivariate timeSeries object
a numeric value, the confidence interval.
a character string, the type to calculate the value-at-risk.
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.
Diethelm Wuertz for this R-port.
hillPlot,
gevFit.