BootstrapVaR: Bootstrapped VaR for specified confidence level

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

Description

Estimates the bootstrapped VaR for confidence level and holding period implied by data frequency.

Usage

BootstrapVaR(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 Value at Risk confidence level

Value

Bootstrapped VaR

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Estimates bootstrapped VaR for given parameters
   a <- rnorm(100) # generate a random profit/loss vector
   BootstrapES(a, 50, 0.95)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 2.050636

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