HSESFigure: Figure of Historical SImulation VaR and ES and histogram of...
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Description
Usage
Arguments
Author(s)
References
Examples
Description
Plots figure showing the historical simulation VaR and ES and histogram
of L/P for specified confidence level and holding period implied by data
frequency.
Usage
1
HSESFigure(Ra, cl)
Arguments
Ra
Vector of profit loss data
cl
VaR confidence level
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1
2
3
# Plots figure showing VaR and histogram of P/L data
Ra <- rnorm(100)
HSESFigure(Ra, .95)
Dowd documentation built on May 2, 2019, 6:15 p.m.
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Description Usage Arguments Author(s) References Examples
Description
Plots figure showing the historical simulation VaR and ES and histogram of L/P for specified confidence level and holding period implied by data frequency.
Usage
1 | HSESFigure(Ra, cl)
|
Arguments
Ra |
Vector of profit loss data |
cl |
VaR confidence level |
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1 2 3 | # Plots figure showing VaR and histogram of P/L data
Ra <- rnorm(100)
HSESFigure(Ra, .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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