Gives figure showing the VaR and ES and probability distribution function against L/P of a portfolio assuming geometric returns are normally distributed, for specified confidence level and holding period.
The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 3 or 4. In case there 3 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
cl VaR confidence level and should be scalar
hp VaR holding period in days and should be scalar
Dowd, K. Measuring Market Risk, Wiley, 2007.
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