![]() QuantLib 0.3.3User manualIntroduction to QuantLibQuantLib componentsReference manual |
GenericRiskStatistics Class Template Reference#include <riskstatistics.hpp>
Detailed Descriptiontemplate<class S>
empirical-distribution risk measures
|
Public Member Functions | |
double | semiVariance () const |
double | semiDeviation () const |
double | downsideVariance () const |
double | downsideDeviation () const |
double | regret (double target) const |
double | potentialUpside (double percentile) const |
potential upside (the reciprocal of VAR) at a given percentile | |
double | valueAtRisk (double percentile) const |
value-at-risk at a given percentile | |
double | expectedShortfall (double percentile) const |
expected shortfall at a given percentile | |
double | shortfall (double target) const |
double | averageShortfall (double target) const |
|
returns the variance of observations below the mean,
See Markowitz (1959). |
|
returns the semi deviation, defined as the square root of the semi variance. |
|
returns the variance of observations below 0.0,
|
|
returns the downside deviation, defined as the square root of the downside variance. |
|
returns the variance of observations below target,
See Dembo and Freeman, "The Rules Of Risk", Wiley (2001). |
|
potential upside (the reciprocal of VAR) at a given percentile
|
|
value-at-risk at a given percentile
|
|
expected shortfall at a given percentile returns the expected loss in case that the loss exceeded a VaR threshold,
that is the average of observations below the given percentile See Artzner, Delbaen, Eber and Heath, "Coherent measures of risk", Mathematical Finance 9 (1999) |
|
probability of missing the given target, defined as
where
|
|
averaged shortfallness, defined as
|
QuantLib.org![]() |
Hosted by![]() |
Documentation generated by![]() |