Description Usage Arguments Author(s) References Examples

View source: R/BootstrapESFigure.R

Plots figure for the bootstrapped ES, for confidence level and holding period implied by data frequency.

1 | ```
BootstrapESFigure(Ra, number.resamples, cl)
``` |

`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 |

Dinesh Acharya

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

1 2 3 4 5 | ```
# To be modified with appropriate data.
# Estimates 90% confidence interval for bootstrapped ES for 95%
# confidence interval
Ra <- rnorm(1000)
BootstrapESFigure(Ra, 500, 0.95)
``` |

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