NNS (version 10.0)

LPM.VaR: LPM VaR

Description

Generates a value at risk (VaR) quantile based on the Lower Partial Moment ratio.

Usage

LPM.VaR(percentile, degree, x)

Value

Returns a numeric value representing the point at which "percentile" of the area of x is below.

Arguments

percentile

numeric [0, 1]; The percentile for left-tail VaR (vectorized).

degree

integer; (degree = 0) for discrete distributions, (degree = 1) for continuous distributions.

x

a numeric vector.

Author

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" https://www.amazon.com/dp/1490523995/ref=cm_sw_su_dp

Examples

if (FALSE) {
set.seed(123)
x <- rnorm(100)

## For 5th percentile, left-tail
LPM.VaR(0.05, 0, x)
}