sstModel: valueAtRisk – R documentation

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valueAtRisk

Compute the Value-at-Risk

function to compute the alpha-Value-at-Risk of a vector.

valueAtRisk(x, alpha = 0.005)

`x`	a numeric vector. The vector from which to compute the value-at-risk.
`alpha`	numeric value, the alpha-Value-at-Risk, must take values between 0 and 1. Please note that we consider value-at-risk here to be equivalent to the alpha-quantiles of `x`.

a numeric value. The value-at-risk.

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