LogtVaRPlot3D: Plots log-t VaR against confidence level and holding period

Description Usage Arguments Author(s) References Examples

View source: R/LogtVaRPlot3D.R

Description

Plots the VaR of a portfolio against confidence level and holding period assuming that geometric returns are Student-t distributed, for specified confidence level and holding period.

Usage

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Arguments

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The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 5 or 6. In case there 5 input arguments, the mean and standard deviation of data is computed from return data. See examples for details.

returns Vector of daily geometric return data

mu Mean of daily geometric return data

sigma Standard deviation of daily geometric return data

investment Size of investment

df Number of degrees of freedom in the t distribution

cl VaR confidence level and must be a vector

hp VaR holding period and must be a vector

Author(s)

Dinesh Acharya

References

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

Examples

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# Plots VaR against confidene level given geometric return data
   data <- runif(5, min = 0, max = .2)
   LogtVaRPlot3D(returns = data, investment = 5, df = 6, cl = seq(.9,.99,.01), hp = 1:100)

   # Computes VaR against confidence level given mean and standard deviation of return data
   LogtVaRPlot3D(mu = .012, sigma = .03, investment = 5, df = 6, cl = seq(.9,.99,.01), hp = 1:100)

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