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Financial module >> Financial module > mef

mef

Compute and draw the Mean Excess Function

SYNOPSIS

E=mef(x)

Description

On the data "x" (for instance asset returns), the function computes and draw the Mean Excess Function. It is the mean of the data exceeding a given threshold. Each value of ordered "x" is taken as a threshold.

Parameters

x
data the Mean Excess Function must be computed on

Output

E
vector of the values of the Mean Excess Function

Example

First we generate 1000 normally daily returns on an asset with 0.1/250 mean and 0.2/sqrt(250) variance:

-->returns=grand(1000,1,'nor',0.1/250,0.2/sqrt(250));

Now we can use the function on these returns.

-->E=mef(returns);

The graph shows the values of the Mean Excess Function. For a normal random variable it is decreasing and convex.

Authors

Francesco Menoncin - Brescia University - 2010


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