Plots the VaR of a portfolio against confidence level assuming that P/L data is t distributed, for specified confidence level and holding period.
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
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)
Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.