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NNS (version 10.0)

UPM.VaR: UPM VaR

Description

Generates an upside value at risk (VaR) quantile based on the Upper Partial Moment ratio

Usage

UPM.VaR(percentile, degree, x)

Value

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

Arguments

percentile

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

degree

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

x

a numeric vector.

Examples

Run this code
set.seed(123)
x <- rnorm(100)

## For 5th percentile, right-tail
UPM.VaR(0.05, 0, x)

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