Description Usage Arguments Author(s) References Examples
Estimates the variance-covariance VaR of a multi-asset portfolio using the Cornish-Fisher adjustment for portfolio-return non-normality, for specified confidence level and holding period.
1 | AdjustedVarianceCovarianceVaR(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
|
vc.matrix |
Assumed variance covariance matrix for returns |
mu |
Vector of expected position returns |
skew |
Portfolio return skewness |
kurtosis |
Portfolio return kurtosis |
positions |
Vector of positions |
cl |
Confidence level and is scalar or vector |
hp |
Holding period and is scalar or vector |
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 4 5 6 7 8 9 | # Variance-covariance 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
AdjustedVarianceCovarianceVaR(vc.matrix, mu, skew, kurtosis, positions, cl, hp)
|
Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[,1]
[1,] -3536.382
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