plot-ghyp.attribution: Plot ES contribution

In ghyp: Generalized Hyperbolic Distribution and Its Special Cases

Plot ES contribution

Description

These functions plot the contribution of each asset to the overall portfolio expected shortfall.

Usage

## S3 method for class 'ghyp.attrib'
plot(
  x,
  metrics = c("contribution", "sensitivity"),
  column.index = NULL,
  percentage = FALSE,
  colorset = NULL,
  horiz = FALSE,
  unstacked = TRUE,
  pie.chart = FALSE,
  sub = NULL,
  ...
)

Arguments

x	A ghyp.attribution object.
metrics	either the contribution or sensitivity will be plotted.
column.index	which column of the object.
percentage	plot contribution or sensitivity in percent.
colorset	vector of colors for the chart.
horiz	plot horizontally.
unstacked	unstacked plot.
pie.chart	should a pie chart be plotted.
sub	subtitle.
...	arguments passed to plot function.

Author(s)

Marc Weibel

See Also

ESghyp.attribution.

Examples

## Not run: 
 data(smi.stocks)
 
 ## Fit a NIG model to Novartis, CS and Nestle log-returns
 assets.fit <- fit.NIGmv(smi.stocks[, c("Novartis", "CS", "Nestle")], silent = TRUE)
 
 ## Define Weights of the Portfolio
 weights <- c(0.2, 0.5, 0.3)
 
 ## Confidence level for Expected Shortfall
 es.levels <- c(0.01)
 portfolio.attrib <- ESghyp.attribution(alpha=es.levels, object=assets.fit, weights=weights)
 
 ## Plot Risk Contribution for each Asset
 plot(portfolio.attrib, metrics='contribution')  

## End(Not run)

ghyp documentation built on Sept. 12, 2024, 7:38 a.m.