Description Usage Arguments Author(s) References Examples

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

1 |

`...` |
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 |

Dinesh Acharya

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

1 2 3 4 5 6 | ```
# 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)
``` |

Dowd documentation built on May 30, 2017, 1:30 a.m.

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