ESnorm {QRMlib}R Documentation

Expected Shortfall for Normal Distribution

Description

calculates expected shortfall for normal distribution

Usage

ESnorm(p, mean=0, sd=1)

Arguments

p probability level
mean mean
sd standard deviation

Details

see page 45 of QRM

Value

expected shortfall

See Also

ESst

Examples

ESnorm(c(0.95,0.99)) 

[Package QRMlib version 1.4.4 Index]