GParetoVaR: VaR for Generalized Pareto

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

Description

Estimates the Value at Risk of a portfolio assuming losses are distributed as a generalised Pareto.

Usage

GParetoVaR(Ra, beta, zeta, threshold.prob, cl)

Arguments

Ra	Vector of daily Profit/Loss data
beta	Assumed scale parameter
zeta	Assumed tail index
threshold.prob	Threshold probability corresponding to threshold u and x
cl	VaR confidence level

Value

Expected Shortfall

Author(s)

Dinesh Acharya

References

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

McNeil, A., Extreme value theory for risk managers. Mimeo, ETHZ, 1999.

Examples

# Computes ES assuming generalised Pareto for following parameters
   Ra <- 5 * rnorm(100)
   beta <- 1.2
   zeta <- 1.6
   threshold.prob <- .85
   cl <- .99
   GParetoVaR(Ra, beta, zeta, threshold.prob, cl)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast

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