Dowd (version 0.12)

GParetoES: Expected Shortfall for Generalized Pareto

Description

Estimates the ES of a portfolio assuming losses are distributed as a generalised Pareto.

Usage

GParetoES(Ra, beta, zeta, threshold.prob, cl)

Arguments

Ra

Vector of daily Profit/Loss data

beta

Assumed scale parameter

zeta

Assumed tail index

threshold.prob

Threshold probability

cl

VaR confidence level

Value

Expected Shortfall

References

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

McNeil, A., Extreme value theory for risk managers. Mimeo, ETHZ, 1999.

Examples

# Computes ES assuming generalised Pareto for following parameters
   Ra <- 5 * rnorm(100)
   beta <- 1.2
   zeta <- 1.6
   threshold.prob <- .85
   cl <- .99
   GParetoES(Ra, beta, zeta, threshold.prob, cl)