HSESDFPerc: Percentile of historical simulation ES distribution function
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Description
Usage
Arguments
Value
Author(s)
References
Examples
Description
Estimates percentiles of historical simulation ES distribution
function, using theory of order statistics, for specified confidence level.
Usage
1
HSESDFPerc(Ra, perc, cl)
Arguments
Ra
Vector of daily P/L data
perc
Desired percentile and is scalar
cl
VaR confidence level and is scalar
Value
Value of percentile of VaR distribution function
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1
2
3
4
# Estimates Percentiles for random standard normal returns and given perc
# and cl
Ra <- rnorm(100)
HSESDFPerc(Ra, .75, .95)
Dowd documentation built on May 2, 2019, 6:15 p.m.
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Description Usage Arguments Value Author(s) References Examples
Description
Estimates percentiles of historical simulation ES distribution function, using theory of order statistics, for specified confidence level.
Usage
1 | HSESDFPerc(Ra, perc, cl)
|
Arguments
Ra |
Vector of daily P/L data |
perc |
Desired percentile and is scalar |
cl |
VaR confidence level and is scalar |
Value
Value of percentile of VaR distribution function
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1 2 3 4 | # Estimates Percentiles for random standard normal returns and given perc
# and cl
Ra <- rnorm(100)
HSESDFPerc(Ra, .75, .95)
|
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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