VaR Component Negative (var_comp_neg)
Contents
VaR Component Negative. α*I -th value in the ordered ascending sequence of scaled components of a -(I-dimensional vector), where 0≤α≤1. E.g., with α=0.8, I=100, we order components of the -(vector) and take the element number α*I = 80
Syntax
var_comp_neg(α, matrix) |
short call; |
var_comp_neg_name(α, matrix) |
call with optional name. |
Parameters
matrix is a PSG matrix:
where the header row contains names of variables. The second row contains numerical data.
is a confidence level.
Mathematical Definition
VaR Component Negative function is calculated as follows:
.
where
is VaR Component Positive function,
is an argument of VaR Component Negative function.
Example
See also
Polynomial Absolute, Relative Entropy, CVaR Component Positive, CVaR Component Negative, CVaR Component Absolute, VaR Component Positive, Maximum Component Positive, Maximum Component Negative, Maximum Component Absolute, Quadratic Function, Squareroot Quadratic, Logarithms Sum