Gumbel ES

Description

Estimates the ES of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period. Note that the long-right-hand tail is fitted to losses, not profits.

Usage

1
GumbelES(mu, sigma, n, cl, hp)

Arguments

mu

Location parameter for daily L/P

sigma

Assumed scale parameter for daily L/P

n

Assumed block size from which the maxima are drawn

cl

VaR confidence level

hp

VaR holding period

Value

Estimated ES. If cl and hp are scalars, it returns scalar VaR. If cl is vector and hp is a scalar, or viceversa, returns vector of VaRs. If both cl and hp are vectors, returns a matrix of VaRs.

Author(s)

Dinesh Acharya

References

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

National Institute of Standards and Technology, Dataplot Reference Manual. Volume 1: Commands. NIST: Washington, DC, 1997, p. 8-67.

Examples

1
2
# Gumber ES Plot
   GumbelES(0, 1.2, 100, c(.9,.88, .85, .8), 280)

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.