GumbelVaRPlot2DCl: Gumbel VaR
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Description
Usage
Arguments
Author(s)
References
Examples
Description
Estimates the EV VaR of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period.
Usage
1
GumbelVaRPlot2DCl(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
1
2
# Plots VaR against Cl
GumbelVaRPlot2DCl(0, 1.2, 100, c(.9,.88, .85, .8), 280)
Dowd documentation built on May 2, 2019, 6:15 p.m.
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Description Usage Arguments Author(s) References Examples
Description
Estimates the EV VaR of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period.
Usage
1 | GumbelVaRPlot2DCl(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
1 2 | # Plots VaR against Cl
GumbelVaRPlot2DCl(0, 1.2, 100, c(.9,.88, .85, .8), 280)
|
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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