Function tailRisk

tailRisk(
    request: {
        lambda?: number;
        level: number;
        mean: number;
        nu?: number;
        variance: number;
    },
): TailRisk
VaR and ES of r = μ + √s·z, z standard normal or — with nu — Student-t (skewed t with lambda too) standardised to unit variance, the innovations a fit assumed. For a one-step forecast: mean μ, variance s_{T+1}.
Parameters
- request: { lambda?: number; level: number; mean: number; nu?: number; variance: number }
  - Optional Readonlylambda?: number
    
    With nu, a skewed t (Hansen's, as fitted with dist: 'skewt').
  - Readonlylevel: number
  - Readonlymean: number
  - Optional Readonlynu?: number
  - Readonlyvariance: number
Returns TailRisk
- Defined in src/risk.ts:33