Hotspots for VaR adjusted by Cornish-Fisher correction

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Description

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

Usage

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AdjustedNormalVaRHotspots(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

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

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