chart.VaRSensitivity: show the sensitivity of Value-at-Risk or Expected Shortfall...

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

Description

Creates a chart of Value-at-Risk and/or Expected Shortfall estimates by confidence interval for multiple methods.

Usage

chart.VaRSensitivity(R, methods = c("GaussianVaR", "ModifiedVaR",
  "HistoricalVaR", "GaussianES", "ModifiedES", "HistoricalES"),
  clean = c("none", "boudt", "geltner"), elementcolor = "darkgray",
  reference.grid = TRUE, xlab = "Confidence Level",
  ylab = "Value at Risk", type = "l", lty = c(1, 2, 4), lwd = 1,
  colorset = (1:12), pch = (1:12), legend.loc = "bottomleft",
  cex.legend = 0.8, main = NULL, ylim = NULL, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
methods	one or more calculation methods indicated "GaussianVaR", "ModifiedVaR", "HistoricalVaR", "GaussianES", "ModifiedES", "HistoricalES". See VaR or ES for more detail.
clean	method for data cleaning through Return.clean. Current options are "none" or "boudt" or "geltner".
elementcolor	the color used to draw chart elements. The default is "darkgray"
reference.grid	if true, draws a grid aligned with the points on the x and y axes
ylab	set the y-axis label, same as in plot
xlab	set the x-axis label, same as in plot
ylim	set the y-axis dimensions, same as in plot
type	set the chart type, same as in plot
lty	set the line type, same as in plot
lwd	set the line width, same as in plot
colorset	color palette to use, set by default to rational choices
pch	symbols to use, see also plot
legend.loc	places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
cex.legend	The magnification to be used for sizing the legend relative to the current setting of 'cex'.
main	set the chart title, same as in plot
...	any other passthru parameters

Details

This chart shows estimated VaR along a series of confidence intervals for selected calculation methods. Useful for comparing a method to the historical VaR calculation.

Author(s)

Peter Carl

References

Boudt, K., Peterson, B. G., Croux, C., 2008. Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns. Journal of Risk, forthcoming.

See Also

VaR
ES

Examples

data(managers)
chart.VaRSensitivity(managers[,1,drop=FALSE],
		methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"),
		colorset=bluefocus, lwd=2)

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.