Nonparametric calculation of univariate Value at Risk and Expected Shortfall — hs • quarks

Computes Value at Risk and Expected Shortfall (Conditional Value at Risk) by means of plain and age-weighted historical simulation.

hs(x, p = 0.975, method = c("age", "plain"), lambda = 0.98)

Arguments

x: a numeric vector of asset returns
p: confidence level for VaR calculation; default is 0.975
method: method to be used for calculation; default is 'plain'
lambda: decay factor for the calculation of weights; default is 0.98

Value

Returns a list with the following elements:

VaR: Calculated Value at Risk
ES: Calculated Expected Shortfall (Conditional Value at Risk)
p: Confidence level for VaR calculation

Examples

prices <- DAX$price.close
returns <- diff(log(prices))
hs(x = returns, p = 0.975, method = 'plain')
#> $VaR
#> [1] 0.0316466
#> 
#> $ES
#> [1] 0.04461608
#> 
#> $p
#> [1] 0.975
#> 
hs(x = returns, p = 0.975, method = 'age', lambda = 0.98)
#> $VaR
#> [1] 0.02104498
#> 
#> $ES
#> [1] 0.03277479
#> 
#> $p
#> [1] 0.975
#>