expectedShortfall (3) - Linux Manuals
expectedShortfall: empirical-distribution risk measures
NAME
QuantLib::GenericRiskStatistics - empirical-distribution risk measures
SYNOPSIS
#include <ql/math/statistics/riskstatistics.hpp>
Inherits S.
Public Types
typedef S::value_type value_type
Public Member Functions
Real semiVariance () const
Real semiDeviation () const
Real downsideVariance () const
Real downsideDeviation () const
Real regret (Real target) const
Real potentialUpside (Real percentile) const
potential upside (the reciprocal of VAR) at a given percentile
Real valueAtRisk (Real percentile) const
value-at-risk at a given percentile
Real expectedShortfall (Real percentile) const
expected shortfall at a given percentile
Real shortfall (Real target) const
Real averageShortfall (Real target) const
Detailed Description
template<class S> class QuantLib::GenericRiskStatistics< S >
empirical-distribution risk measuresThis class wraps a somewhat generic statistic tool and adds a number of risk measures (e.g.: value-at-risk, expected shortfall, etc.) based on the data distribution as reported by the underlying statistic tool.
Possible enhancements
- add historical annualized volatility
Examples:
Member Function Documentation
Real semiVariance () const
returns the variance of observations below the mean, [ ac{N}{N-1} mathrm{E}
)^2 ;|; x <
ngle ight]. ]
Real semiDeviation () const
returns the semi deviation, defined as the square root of the semi variance.
Real downsideVariance () const
returns the variance of observations below 0.0, [ ac{N}{N-1} mathrm{E}
al downsideDeviation () const"
returns the downside deviation, defined as the square root of the downside variance.
Real regret (Real target) const
returns the variance of observations below target, [ ac{N}{N-1} mathrm{E}
e Dembo and Freeman, 'The Rules Of Risk', Wiley (2001).
Real potentialUpside (Real centile) const
potential upside (the reciprocal of VAR) at a given percentile
Precondition:
- percentile must be in range [90-100%)
Real valueAtRisk (Real centile) const
value-at-risk at a given percentile
Precondition:
- percentile must be in range [90-100%)
Real expectedShortfall (Real centile) const
expected shortfall at a given percentile
returns the expected loss in case that the loss exceeded a VaR threshold,
[ mathrm{E}
average of observations below the given percentile $ p $. Also know as conditional value-at-risk.
See Artzner, Delbaen, Eber and Heath, 'Coherent measures of risk', Mathematical Finance 9 (1999)
Precondition:
- percentile must be in range [90-100%)
Real shortfall (Real target) const
probability of missing the given target, defined as [ mathrm{E}
ta ;|; (-infty,infty) ight] ] where [ Theta(x) =
al averageShortfall (Real target) const"
averaged shortfallness, defined as [ mathrm{E}
nerated automatically by Doxygen for QuantLib from the source code.