HSES function

Expected Shortfall of a portfolio using Historical Estimator

Estimates the Expected Shortfall (aka. Average Value at Risk or Conditional Value at Risk) using historical estimator approach for the specified confidence level and the holding period implies by data frequency.

HSES(Ra, cl)

Arguments

• Ra: Vector corresponding to profit and loss distribution
• cl: Number between 0 and 1 corresponding to confidence level

Returns

Expected Shortfall of the portfolio

Examples

# Computes Historical Expected Shortfall for a given profit/loss
   # distribution and confidence level
   a <- rnorm(100) # generate a random profit/loss vector
   HSES(a, 0.95)

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Cont, R., Deguest, R. and Scandolo, G. Robustness and sensitivity analysis of risk measurement procedures. Quantitative Finance, 10(6), 2010, 593-606.

Acerbi, C. and Tasche, D. On the coherence of Expected Shortfall. Journal of Banking and Finance, 26(7), 2002, 1487-1503

Artzner, P., Delbaen, F., Eber, J.M. and Heath, D. Coherent Risk Measures of Risk. Mathematical Finance 9(3), 1999, 203.

Foellmer, H. and Scheid, A. Stochastic Finance: An Introduction in Discrete Time. De Gryuter, 2011.