ES {extrememix} | R Documentation |
Expected Shortfall
Description
Computation of the expected shortfall for an extreme value mixture model
Usage
ES(x, ...)
## S3 method for class 'evmm'
ES(x, values = NULL, cred = 0.95, ...)
Arguments
x |
the output of a model estimated with |
... |
additional arguments for compatibility. |
values |
numeric vector of values of which to compute the expected shortfall. |
cred |
amplitude of the posterior credibility interval. |
Details
The expected shortfall is the expectation of a random variable conditional of being larger of a specific Value-at-Risk (quantile). For an extreme value mixture model this is equal to:
ES_p = \frac{VaR_p}{1-\xi} +\frac{\sigma-\xi u }{1-\xi}
Value
A list with the following entries:
-
quantiles
: a matrix containing the estimated shortfall, the posterior credibility intervals and the empirical estimate. -
data
: the dataset used to estimate the expected shortfall. -
complete
: a matrix with the expected shortfall for each value in the posterior sample.
References
Lattanzi, Chiara, and Manuele Leonelli. "A changepoint approach for the identification of financial extreme regimes." Brazilian Journal of Probability and Statistics.
See Also
Examples
ES(rainfall_ggpd)