AdjustedVarianceCovarianceES: Cornish-Fisher adjusted Variance-Covariance ES

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

Function estimates the Variance-Covariance ES of a multi-asset portfolio using the Cornish - Fisher adjustment for portfolio return non-normality, for specified confidence level and holding period.

Usage

AdjustedVarianceCovarianceES(vc.matrix, mu, skew, kurtosis, positions, cl, hp)

Arguments

vc.matrix	Variance covariance matrix for returns
mu	Vector of expected position returns
skew	Return skew
kurtosis	Return kurtosis
positions	Vector of positions
cl	Confidence level and is scalar
hp	Holding period and is scalar

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Variance-covariance ES for randomly generated portfolio
   vc.matrix <- matrix(rnorm(16), 4, 4)
   mu <- rnorm(4)
   skew <- .5
   kurtosis <- 1.2
   positions <- c(5, 2, 6, 10)
   cl <- .95
   hp <- 280
   AdjustedVarianceCovarianceES(vc.matrix, mu, skew, kurtosis, positions, cl, hp)

Dowd documentation built on May 2, 2019, 10:16 a.m.