AdjustedNormalVaRHotspots: Hotspots for VaR adjusted by Cornish-Fisher correction

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

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

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

# 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)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1]  -565.4426 -1262.8334  2814.4209  1935.7293

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