GumbelVaR: Gumbel VaR

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

Description

Estimates the EV VaR of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period.

Usage

GumbelVaR(mu, sigma, n, cl, hp)

Arguments

mu	Location parameter for daily L/P
sigma	Assumed scale parameter for daily L/P
n	Size from which the maxima are drawn
cl	VaR confidence level
hp	VaR holding period

Value

Estimated VaR

Author(s)

Dinesh Acharya

References

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

Examples

# Gumbel VaR
   GumbelVaR(0, 1.2, 100, c(.9,.88, .85, .8), 280)

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