GumbelES: Gumbel ES

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

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

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

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

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