HSESPlot2DCl: Plots historical simulation ES against confidence level

Description Usage Arguments Author(s) References Examples

View source: R/HSESPlot2DCl.R

Description

Function plots the historical simulation ES of a portfolio against confidence level, for specified range of confidence level and holding period implied by data frequency.

Usage

1
HSESPlot2DCl(Ra, cl)

Arguments

Ra

Vector of daily P/L data

cl

Vector of ES confidence levels

Author(s)

Dinesh Acharya

References

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

Examples

1
2
3
4
# Plots historical simulation ES against confidence level
   Ra <- rnorm(100)
   cl <- seq(.90, .99, .01)
   HSESPlot2DCl(Ra, cl)

Dowd documentation built on May 30, 2017, 1:30 a.m.