GenericRiskStatistics Class Template Reference
#include <ql/Math/riskstatistics.hpp>
Detailed Description
template<class S>
class QuantLib::GenericRiskStatistics< S >
empirical-distribution risk measures
This 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 tool.
- Todo:
- add historical annualized volatility
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 |
Member Function Documentation
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returns the variance of observations below the mean,
See Markowitz (1959). |
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returns the semi deviation, defined as the square root of the semi variance. |
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returns the variance of observations below 0.0,
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returns the downside deviation, defined as the square root of the downside variance. |
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returns the variance of observations below target,
See Dembo and Freeman, "The Rules Of Risk", Wiley (2001). |
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potential upside (the reciprocal of VAR) at a given percentile
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value-at-risk at a given percentile
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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) |
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probability of missing the given target, defined as
where
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averaged shortfallness, defined as
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