GenericRiskStatistics< S > Class Template Reference
empirical-distribution risk measures More...
#include <ql/math/statistics/riskstatistics.hpp>
Inherits S.
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 |
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.
- Possible enhancements:
- add historical annualized volatility
- Examples:
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.
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
- Precondition:
- percentile must be in range [90-100%)
value-at-risk at a given percentile
- Precondition:
- percentile must be in range [90-100%)
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)
- Precondition:
- percentile must be in range [90-100%)