sstModel: standaloneExpectedShortfall.sstOutput – R documentation

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standaloneExpectedShortfall.sstOutput

Compute expected shortfall for standalone risk by reference

S3 generic method to compute expected shortfall of a standalone risk.

## S3 method for class 'sstOutput'
standaloneExpectedShortfall(object, col.name, ...)

`object`	S3 object of class sstOutput.
`col.name`	name of the column in `object$simulations` to get the expected shortfall from.
`...`	additional arguments passed to `expectedShortfall`.

a numeric value, the expected shortfall.