ValueAtRisk            package:fExtremes            R Documentation

_V_a_l_u_e-_a_t-_R_i_s_k

_D_e_s_c_r_i_p_t_i_o_n:

     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.

_U_s_a_g_e:

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

_A_r_g_u_m_e_n_t_s:

       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'. 

_V_a_l_u_e:

     'VaR'
      'CVaR'

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

_A_u_t_h_o_r(_s):

     Diethelm Wuertz for this R-port.

_S_e_e _A_l_s_o:

     'hillPlot', 'gevFit'.

