GenericRiskStatistics Class Template Reference
#include <ql/math/statistics/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 statistic tool.
- Todo:
- add historical annualized volatility
- Examples:
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 |
Member Function Documentation
Real semiVariance | ( | ) | const |
returns the variance of observations below the mean,
See Markowitz (1959).
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,
Real 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,
See 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 | percentile | ) | const |
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 . Also know as conditional value-at-risk.
See Artzner, Delbaen, Eber and Heath, "Coherent measures of risk", Mathematical Finance 9 (1999)
Real shortfall | ( | Real | target | ) | const |
probability of missing the given target, defined as
where
Real averageShortfall | ( | Real | target | ) | const |
averaged shortfallness, defined as