tVaRPlot2DHP: Plots t VaR against holding period

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

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

Usage

tVaRPlot2DHP(...)

Arguments

...

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 scalar hp VaR holding period and must be a vector

Author(s)

Dinesh Acharya

References

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

Examples

# Computes VaR given P/L data data
   data <- runif(5, min = 0, max = .2)
   tVaRPlot2DHP(returns = data, df = 6, cl = .95, hp = 60:90)

   # Computes VaR given mean and standard deviation of return data
   tVaRPlot2DHP(mu = .012, sigma = .03, df = 6, cl = .99, hp = 40:80)

Dowd documentation built on May 2, 2019, 10:16 a.m.