Gumbel VaR

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Description

Estimates the EV VaR of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period.

Usage

1
GumbelESPlot2DCl(mu, sigma, n, cl, hp)

Arguments

mu

Location parameter for daily L/P

sigma

Assumed scale parameter for daily L/P

n

size from which the maxima are drawn

cl

VaR confidence level

hp

VaR holding period

Author(s)

Dinesh Acharya

References

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

Examples

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# Plots ES against Cl
   GumbelESPlot2DCl(0, 1.2, 100, seq(0.8,0.99,0.02), 280)

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