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sstModel (version 1.0.0)

standaloneExpectedShortfall.sstOutput: Compute expected shortfall for standalone risk by reference

Description

S3 generic method to compute expected shortfall of a standalone risk.

Usage

# S3 method for sstOutput
standaloneExpectedShortfall(object, col.name, ...)

Arguments

object

S3 object of class sstOutput.

col.name

name of the column in object$simulations to get the expected shortfall from.

...

additional arguments passed to expectedShortfall.

Value

a numeric value, the expected shortfall.

See Also

getDrbc.