AdjustedNormalESHotspots: Hotspots for ES adjusted by Cornish-Fisher correction

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

Description

Estimates the ES hotspots (or vector of incremental ESs) for a portfolio with portfolio return adjusted for non-normality by Cornish-Fisher corerction, for specified confidence level and holding period.

Usage

AdjustedNormalESHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)

Arguments

vc.matrix	Variance covariance matrix for returns
mu	Vector of expected position returns
skew	Return skew
kurtosis	Return kurtosis
positions	Vector of positions
cl	Confidence level and is scalar
hp	Holding period and is scalar

Author(s)

Dinesh Acharya

References

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

Examples

# Hotspots for ES for randomly generated portfolio
   vc.matrix <- matrix(rnorm(16),4,4)
   mu <- rnorm(4)
   skew <- .5
   kurtosis <- 1.2
   positions <- c(5,2,6,10)
   cl <- .95
   hp <- 280
   AdjustedNormalESHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)

Dowd documentation built on May 2, 2019, 6:15 p.m.