Percentile of historical simulation ES distribution function

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)

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.