Description Usage Arguments Value Author(s) References Examples
View source: R/NormalVaRHotspots.R
Estimates the VaR hotspots (or vector of incremental VaRs) for a portfolio assuming individual asset returns are normally distributed, for specified confidence level and holding period.
1 | NormalVaRHotspots(vc.matrix, mu, positions, cl, hp)
|
vc.matrix |
Variance covariance matrix for returns |
mu |
Vector of expected position returns |
positions |
Vector of positions |
cl |
Confidence level and is scalar |
hp |
Holding period and is scalar |
Hotspots for normal VaR
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 4 5 6 7 | # Hotspots for ES for randomly generated portfolio
vc.matrix <- matrix(rnorm(16),4,4)
mu <- rnorm(4,.08,.04)
positions <- c(5,2,6,10)
cl <- .95
hp <- 280
NormalVaRHotspots(vc.matrix, mu, positions, cl, hp)
|
Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 1692.230725 9.146343 -1692.068471 -4184.460374
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