Plots t ES against holding period

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Description

Plots the ES of a portfolio against holding period assuming that L/P is t distributed, for specified confidence level and holding periods.

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 4 or 5. In case there 4 input arguments, the mean and standard deviation of data is computed from return data. See examples for details.

returns Vector of daily P/L data

mu Mean of daily P/L data

sigma Standard deviation of daily P/L data

df Number of degrees of freedom in the t distribution

cl ES confidence level and must be a scalar

hp ES holding period and must be a vector

Author(s)

Dinesh Acharya

References

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

Evans, M., Hastings, M. and Peacock, B. Statistical Distributions, 3rd edition, New York: John Wiley, ch. 38,39.

Examples

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# Computes ES given geometric return data
   data <- runif(5, min = 0, max = .2)
   tESPlot2DHP(returns = data, df = 6, cl = .95, hp = 60:90)

   # Computes v given mean and standard deviation of return data
   tESPlot2DHP(mu = .012, sigma = .03, df = 6, cl = .99, hp = 40:80)

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