BootstrapESConfInterval: Bootstrapped ES Confidence Interval

Description

Estimates the 90 level and holding period implied by data frequency.

Usage

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BootstrapESConfInterval(Ra, number.resamples, cl)

Arguments

Ra

Vector corresponding to profit and loss distribution

number.resamples

Number of samples to be taken in bootstrap procedure

cl

Number corresponding to Expected Shortfall confidence level

Value

90

Author(s)

Dinesh Acharya

References

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

Examples

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# To be modified with appropriate data.
   # Estimates 90% confidence interval for bootstrapped ES for 95%
   # confidence interval
   Ra <- rnorm(1000)
   BootstrapESConfInterval(Ra, 50, 0.95)

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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