Description Usage Arguments Author(s) References Examples
View source: R/NormalVaRPlot2DHP.R
Plots the VaR of a portfolio against holding period assuming that P/L are normally distributed, for specified confidence level and holding period.
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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 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 must be a scalar hp VaR holding period and must be a vector |
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 4 5 6 | # Computes VaR given P/L data
data <- runif(5, min = 0, max = .2)
NormalVaRPlot2DHP(returns = data, cl = .95, hp = 60:90)
# Computes VaR given mean and standard deviation of P/L data
NormalVaRPlot2DHP(mu = .012, sigma = .03, cl = .99, hp = 40:80)
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