AdjustedVarianceCovarianceVaR: Cornish-Fisher adjusted variance-covariance VaR

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

Description

Estimates the variance-covariance VaR of a multi-asset portfolio using the Cornish-Fisher adjustment for portfolio-return non-normality, for specified confidence level and holding period.

Usage

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

Arguments

vc.matrix	Assumed variance covariance matrix for returns
mu	Vector of expected position returns
skew	Portfolio return skewness
kurtosis	Portfolio return kurtosis
positions	Vector of positions
cl	Confidence level and is scalar or vector
hp	Holding period and is scalar or vector

Author(s)

Dinesh Acharya

References

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

Examples

# Variance-covariance 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
   AdjustedVarianceCovarianceVaR(vc.matrix, mu, skew, kurtosis, positions, cl, hp)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
          [,1]
[1,] -3536.382

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