ESst {QRMlib}R Documentation

Expected Shortfall for Student t Distribution

Description

calculates expected shortfall for Student t distribution

Usage

ESst(p, df, mu=0, sigma=1, scale=FALSE)

Arguments

p probability level
df degrees of freedom
mu mean
sigma standard deviation
scale should t distribution be scaled to have variance one?

Details

see page 45 of QRM

Value

expected shortfall

See Also

ESnorm

Examples

#Set up the quantile probabilities
p <- c(0.90,0.95,0.975,0.99,0.995,0.999,0.9999,0.99999,0.999999);
sigma <- 0.2*10000/sqrt(250);
#Now look at Expected Shortfall for student t with 4 degrees of freedom:
ES.t4 <- ESst(p,4,sigma=sigma,scale=TRUE);
ESst(c(0.95,0.99),4);

[Package QRMlib version 1.4.4 Index]