sstModel: expectedShortfall – R documentation

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expectedShortfall

Compute the Expected Shortfall

function to compute the alpha-Expected Shortfall of a vector.

expectedShortfall(x, alpha = 0.01, sup = F, ...)

`x`	a numeric vector. The vector from which to compute the expected shortfall.
`alpha`	a numeric value. The alpha-Expected Shortfall, must take values between 0 and 1. Please note that `alpha` represents the mass lying below the `alpha` quantile of `x` in the case `sup = FALSE` or the mass lying above the `1-alpha` quantile of `x` in the other case `sup = TRUE`
`sup`	a logical value. If `TRUE` the function returns the upper expected shortfall and otherwise the lower. Default is set to `FALSE`.
`...`	additional parameters.

a numeric value. The expected shortfall.

Please consider that we include the boundary value into the empirical mean estimation.

Swiss Solvency Test (SST) Standard Models

v1.0.0

GPL-3 + file LICENSE

Authors

Loris Michel [aut], Melvin Kianmanesh Rad [aut], Adrien Lamit [aut], Michael Schmutz [cre], Swiss Financial Market Supervisory Authority FINMA [cph]

Initial release