valueAtRisk: Compute the Value-at-Risk
Description
function to compute the alpha-Value-at-Risk of a vector.
Usage
valueAtRisk(x, alpha = 0.005)
Arguments
x
a numeric vector. The vector from which to compute the value-at-risk.
alpha
numeric value, the alpha-Value-at-Risk, must take values
between 0 and 1. Please note that we consider value-at-risk here to be equivalent
to the alpha-quantiles of x.
Value
a numeric value. The value-at-risk.