BootstrapESFigure: Plots figure of bootstrapped ES
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Description
Usage
Arguments
Author(s)
References
Examples
Description
Plots figure for the bootstrapped ES, for confidence
level and holding period implied by data frequency.
Usage
1
BootstrapESFigure(Ra, number.resamples, cl)
Arguments
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
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
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)
BootstrapESFigure(Ra, 500, 0.95)
Dowd documentation built on May 2, 2019, 6:15 p.m.
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Description Usage Arguments Author(s) References Examples
Description
Plots figure for the bootstrapped ES, for confidence level and holding period implied by data frequency.
Usage
1 | BootstrapESFigure(Ra, number.resamples, cl)
|
Arguments
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 |
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
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)
BootstrapESFigure(Ra, 500, 0.95)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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