Description Usage Arguments Value Author(s) References Examples
Estimates the 90 level and holding period implied by data frequency.
1 | BootstrapESConfInterval(Ra, number.resamples, cl)
|
Ra |
Vector corresponding to profit and loss distribution |
number.resamples |
Number of samples to be taken in bootstrap procedure |
cl |
Number corresponding to Expected Shortfall confidence level |
90
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 4 5 | # To be modified with appropriate data.
# Estimates 90% confidence interval for bootstrapped ES for 95%
# confidence interval
Ra <- rnorm(1000)
BootstrapESConfInterval(Ra, 50, 0.95)
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