RiskMeasures {QRMlib} | R Documentation |
calculates risk measures like VaR and expected shortfall based on a generalized Pareto model fitted to losses over a high threshold
RiskMeasures(out, p)
out |
results of a GPD fit to excesses over high thresholds |
p |
vector of probability levels for risk measures |
see pages 282-284 of QRM
matrix with quantile and shortfall estimates for each probability level
data(danish); out <- fit.GPD(danish,threshold=10); RiskMeasures(out,c(0.99,0.999));