dat1

Dataset named Public data risk no. 1 consisting in 1000 of simulated data.

datasets

Computes optimal capital allocations based on some standard principles such as Haircut, Overbeck type II and the Covariance Allocation Principle. It also provides some shortcuts for obtaining the Value at Risk and the Expectation Shortfall, using both the normal and the t-student distribution, see Urbina and Guillén (2014)<doi:10.1016/j.eswa.2014.05.017> and Urbina (2013)<http://hdl.handle.net/2099.1/19443>.

Jilber Urbina

Optimal Capital Allocations

dat1 function

A data frame with 1000 observations on the following variable.<dl>
 <dt><code>y</code></dt>
<dd>a numeric vector</dd> 
</dl>

Format

Public data risk no. 1 — dat1

A data frame with 1000 observations on the following variable.<dl>
 <dt><code>y</code></dt>
<dd>a numeric vector</dd>

 
</dl>

dat1: Public data risk no. 1

Description

Usage

Arguments

Format

References

Examples