\HeaderA{VaR.Beyond}{calculate BVaR or loss Beyond traditional mean-VaR}{VaR.Beyond}
\keyword{ts}{VaR.Beyond}
\keyword{multivariate}{VaR.Beyond}
\keyword{distribution}{VaR.Beyond}
\keyword{models}{VaR.Beyond}
\begin{Description}\relax
Beyond VaR purports to estimate average loss beyond VaR.  Please note that your milage will vary; expect that values obtained from the normal distribution differs radically from the real situation.

BeyondVaR is described in theoretical detail in the paper:
Gaussel, N., Legras, J., Longin, F., and Rabemananjara, R. "Beyond the VaR Horizon" 2001, Quants Review No. 37
\end{Description}
\begin{Usage}
\begin{verbatim}
VaR.Beyond(R, p=.95, modified=FALSE, add=FALSE, periods = 1)
\end{verbatim}
\end{Usage}
\begin{Arguments}
\begin{ldescription}
\item[\code{R}] a vector, matrix, data frame, timeSeries or zoo object of asset returns 
\item[\code{p}] confidence level for calculation, default p=.99 
\item[\code{modified}] TRUE/FALSE default FALSE, use Cornish Fisher Expansion to take higher moments into account 
\item[\code{add}] TRUE/FALSE default FALSE, add VaR to BeyondVaR value for total predicted loss, like \code{\LinkA{CVaRplus}{CVaRplus}} 
\item[\code{periods}] number of periods to calculate predicted loss beyond the VaR for, default 1 
\end{ldescription}
\end{Arguments}
\begin{Details}\relax
We believe that the extension of Cornish-Fisher VaR as an option in the Beyond VaR calculation is unique to this library.
\end{Details}
\begin{Value}
estimated Value of single period loss Beyond traditional mean-VaR
\end{Value}
\begin{Author}\relax
Peter Carl \\
Brian G. Peterson
\end{Author}
\begin{References}\relax
Gaussel, N., Legras, J., Longin, F., and Rabemananjara, R. "Beyond the VaR Horizon" 2001, Quants Review No. 37
\end{References}
\begin{SeeAlso}\relax
\code{\LinkA{VaR.CornishFisher}{VaR.CornishFisher}} \\
\code{\LinkA{VaR.traditional}{VaR.traditional}} \\
\code{\LinkA{CVaR}{CVaR}} \\
\code{\LinkA{CVaRplus}{CVaRplus}}
\end{SeeAlso}
\begin{Examples}
\begin{ExampleCode}
    data(edhec)

    # first do normal Beyond VaR calc
    VaR.Beyond(edhec)

    # now use modified Cornish-Fisher VaR calc to take non-normal distribution into account
    VaR.Beyond(edhec,modified=TRUE)
\end{ExampleCode}
\end{Examples}

