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ES

Expected Shortfall

Description

Functions for computing the expected shortfall derived from the Normal or Student's t distribution (see page 45 of QRM).

Usage

ESnorm(p, mu = 0, sd = 1)
ESst(p, mu = 0, sd = 1, df, scale = FALSE)

Arguments

p

numeric, probability
mu

numeric, location parameter
sd

numeric, scale parameter
df

numeric, degrees of freedom
scale

logical, scaling Student's t distribution to have variance one

Value

numeric

Examples

p <- c(0.95, 0.99)
s <- 0.2 * 10000 / sqrt(250)
ESnorm(p)
ESst(p, sd = s, df = 4, scale = TRUE)
ESst(p, df = 4)
QRM

Provides R-Language Code to Examine Quantitative Risk Management Concepts

v0.4-31
GPL (>= 2)
Authors
Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut] (S-Plus original (QRMlib)), Scott Ulmann [trl] (First R port as package QRMlib)
Initial release
2020-02-15

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