Description Usage Arguments Details Author(s) References Examples
Plots the ES of a portfolio against confidence level assuming extreme losses are Frechet distributed, for specified confidence level and a given holding period.
1 | FrechetESPlot2DCl(mu, sigma, tail.index, n, cl, hp)
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mu |
Location parameter for daily L/P |
sigma |
Scale parameter for daily L/P |
tail.index |
Tail index |
n |
Block size from which maxima are drawn |
cl |
Confidence level and should be a vector |
hp |
Holding period |
Note that the long-right-hand tail is fitted to losses, not profits.
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
Embrechts, P., Kluppelberg, C. and Mikosch, T., Modelling Extremal Events for Insurance and Finance. Springer, Berlin, 1997, p. 324.
Reiss, R. D. and Thomas, M. Statistical Analysis of Extreme Values from Insurance, Finance, Hydrology and Other Fields, Birkhaueser, Basel, 1997, 15-18.
1 2 3 | # Plots ES against vector of cl assuming Frechet Distribution for given parameters
cl <- seq(0.9,0.99,0.01)
FrechetESPlot2DCl(3.5, 2.3, 1.6, 10, cl, 30)
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