RiskMeasures {QRMlib}R Documentation

Calculate Risk Measures from GPD Fit

Description

calculates risk measures like VaR and expected shortfall based on a generalized Pareto model fitted to losses over a high threshold

Usage

RiskMeasures(out, p)

Arguments

out results of a GPD fit to excesses over high thresholds
p vector of probability levels for risk measures

Details

see pages 282-284 of QRM

Value

matrix with quantile and shortfall estimates for each probability level

See Also

fit.GPD, showRM

Examples

data(danish);
out <- fit.GPD(danish,threshold=10); 
RiskMeasures(out,c(0.99,0.999)); 

[Package QRMlib version 1.4.4 Index]