sstModel: volaToExpectedShortfall – R documentation

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volaToExpectedShortfall

Transform normal volatility in expected shortfall

function to compute expected shortfall from volatility for normal random variables.

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

`x`	a numeric vector of positive volatilities.
`alpha`	a numeric value. The alpha-Expected Shortfall, must take values between 0 and 1.
`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 vector, the expected shortfalls.

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