riskDecomp.ffm {facmodCS} | R Documentation |
Compute the factor contributions to Sd, VaR and ES of returns based on Euler's theorem, given the fitted factor model.
riskDecomp.ffm(
object,
risk,
weights = NULL,
portDecomp = TRUE,
factor.cov,
p = 0.05,
type = c("np", "normal"),
invert = FALSE,
...
)
object |
fit object of class |
risk |
one of "Sd" (Standard Deviation) or "VaR" (Value at Risk) or "ES" (Expected Shortfall) |
weights |
a vector of weights of the assets in the portfolio, names of the vector should match with asset names. Default is NULL, in which case an equal weights will be used. |
portDecomp |
logical. If |
factor.cov |
optional user specified factor covariance matrix with named columns; defaults to the sample covariance matrix. |
p |
tail probability for calculation. Default is 0.05. |
type |
one of "np" (non-parametric) or "normal" for calculating Es. Default is "np". |
invert |
a logical variable to choose if change ES to positive number, default is False |
... |
other optional arguments passed to |
A list containing
portES |
factor model ES of portfolio returns. |
mES |
length-(K + 1) vector of marginal contributions to Es. |
cES |
length-(K + 1) vector of component contributions to Es. |
pcES |
length-(K + 1) vector of percentage component contributions to Es. |
Where, K is the number of factors.
Eric Zivot, Yi-An Chen, Sangeetha Srinivasan, Lingjie Yi and Avinash Acharya
fitFfm
for the different factor model fitting functions.
portSdDecomp
for factor model Sd decomposition.
portVaRDecomp
for factor model VaR decomposition.