Plots t VaR against confidence level

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Description

Plots the VaR of a portfolio against confidence level assuming that P/L data is 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 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 data

mu Mean of daily P/L data data

sigma Standard deviation of daily P/L data data

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 scalar

Author(s)

Dinesh Acharya

References

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

Examples

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# Plots VaR against confidene level given P/L data data
   data <- runif(5, min = 0, max = .2)
   tVaRPlot2DCL(returns = data, df = 6, cl = seq(.85,.99,.01), hp = 60)

   # Computes VaR against confidence level given mean and standard deviation of P/L data
   tVaRPlot2DCL(mu = .012, sigma = .03, df = 6, cl = seq(.85,.99,.01), hp = 40)

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