HSVaRESPlot2DCl: Plots historical simulation VaR and ES against confidence...
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Description
Usage
Arguments
Author(s)
References
Examples
Description
Function plots the historical simulation VaR and ES of a
portfolio against confidence level, for specified range of confidence level
and holding period implied by data frequency.
Usage
1
HSVaRESPlot2DCl(Ra, cl)
Arguments
Ra
Vector of daily P/L data
cl
Vectof of VaR confidence levels
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1
2
3
4
# Plots historical simulation VaR and ES against confidence level
Ra <- rnorm(100)
cl <- seq(.90, .99, .01)
HSVaRESPlot2DCl(Ra, cl)
Dowd documentation built on May 2, 2019, 6:15 p.m.
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Description Usage Arguments Author(s) References Examples
Description
Function plots the historical simulation VaR and ES of a portfolio against confidence level, for specified range of confidence level and holding period implied by data frequency.
Usage
1 | HSVaRESPlot2DCl(Ra, cl)
|
Arguments
Ra |
Vector of daily P/L data |
cl |
Vectof of VaR confidence levels |
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1 2 3 4 | # Plots historical simulation VaR and ES against confidence level
Ra <- rnorm(100)
cl <- seq(.90, .99, .01)
HSVaRESPlot2DCl(Ra, cl)
|
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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