[R-SIG-Finance] CVaR, fExtremes
Markus.Gesmann at libero.uk.com
Thu Jul 10 13:04:34 CEST 2008
I struggle to understand the output of the CVaR function in the fExtremes package.
The output of VaR (Value at Risk) gives me results I expect to see. However the output of CVaR is less than the output of VaR. From my understanding CVaR gives the mean over a given threshold and should therefore always be bigger than VaR.
The fowling example shows the output of VaR and CVaR:
n <- 1000000
loss.ratio <- rlnorm(n, -0.3479, 0.104)
VaR(loss.ratio, 0.995) # same as quantile(loss.ratio, 0.995)
I expected an output more like this:
mean(loss.ratio[loss.ratio > 0.995])
mean(loss.ratio[loss.ratio > 0.995]) - VaR(loss.ratio, 0.995)
Maybe I am just a little bit confused and mix up terminologies.
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