Dowd (version 0.12)

CornishFisherES: Corn-Fisher ES

Description

Function estimates the ES for near-normal P/L using the Cornish-Fisher adjustment for non-normality, for specified confidence level.

Usage

CornishFisherES(mu, sigma, skew, kurtosis, cl)

Arguments

mu

Mean of P/L distribution

sigma

Variance of of P/L distribution

skew

Skew of P/L distribution

kurtosis

Kurtosis of P/L distribution

cl

ES confidence level

Value

Expected Shortfall

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Zangri, P. A VaR methodology for portfolios that include options. RiskMetrics Monitor, First quarter, 1996, p. 4-12.

Examples

# Estimates Cornish-Fisher ES for given parameters
   CornishFisherES(3.2, 5.6, 2, 3, .9)