Description Usage Arguments Author(s) References Examples
Function estimates the Variance-Covariance ES of a multi-asset portfolio using the Cornish - Fisher adjustment for portfolio return non-normality, for specified confidence level and holding period.
1 | AdjustedVarianceCovarianceES(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
|
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 |
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 4 5 6 7 8 9 | # Variance-covariance 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
AdjustedVarianceCovarianceES(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
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