im currently coding a program which works with the conditional-value-at-risk. I found a package named: "PerformanceAnalytics". This package has a nice function to calculate the CVaR:
T.VAR=CVaR(RBC.1, p=0.006, method="historical")
Problem with this function is that I get an error (more or less):
ES calculation produces unreliable result (risk over 100%) for column: 1: 111.854051307984
the value 111.85... is the correct answer which I need in T.VAR but the function only gives me the result -1.
Is there a possibility to store the 111.85... in T.VAR?
Thank you again very much