fExtremes: ValueAtRisk – R documentation

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ValueAtRisk

Value-at-Risk

A collection and description of functions to compute Value-at-Risk and conditional Value-at-Risk

The functiona are:

`VaR`	Computes Value-at-Risk,
`CVaR`	Computes conditional Value-at-Risk.

VaR(x, alpha = 0.05, type = "sample", tail = c("lower", "upper"))
CVaR(x, alpha = 0.05, type = "sample", tail = c("lower", "upper"))

`x`	an uni- or multivariate timeSeries object
`alpha`	a numeric value, the confidence interval.
`type`	a character string, the type to calculate the value-at-risk.
`tail`	a character string denoting which tail will be considered, either `"lower"` or `"upper"`. If `tail="lower"`, then alpha will be converted to `alpha=1-alpha`.

VaR
CVaR

returns a numeric vector or value with the (conditional) value-at-risk for each time series column.

Diethelm Wuertz for this R-port.