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Documentation
R
GCPM

VaR.cont-methods

Risk Contributions to Portfolio Value at Risk

Description

Get the counterparties' contributions to portfolio value at risk (see GCPM-class). In case of a simulative model, these values are calculated from individual losses greater or equal loss.thr (see init). Contributions are not available if loss.thr is too high.

Usage

VaR.cont(this,alpha)

Arguments

this

Object of class GCPM
alpha

numeric vector with entries between 0 and 1

Value

numeric matrix

See Also

GCPM

Generalized Credit Portfolio Model

v1.2.2
GPL-2
Authors
Kevin Jakob
Initial release
2016-12-29

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