UPM VaR — UPM.VaR • NNS

Generates an upside value at risk (VaR) quantile based on the Upper Partial Moment ratio

Usage

UPM.VaR(percentile, degree, x)

Arguments

percentile: numeric [0, 1]; The percentile for right-tail VaR (vectorized).
degree: integer; (degree = 0) for discrete distributions, (degree = 1) for continuous distributions.
x: a numeric vector.

Value

Returns a numeric value representing the point at which "percentile" of the area of x is above.

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" (ISBN: 1490523995, 2nd edition: https://ovvo-financial.github.io/NNS/book/)

Author

Fred Viole, OVVO Financial Systems

Examples

set.seed(123)
x <- rnorm(100)

## For 5th percentile, right-tail
UPM.VaR(0.05, 0, x)
#>      95% 
#> 1.566526