HSVaRFigure: Figure of Historical SImulation VaR and histogram of L/P

Description

Plots figure showing the historical simulation VaR and histogram of L/P for specified confidence level and holding period implied by data frequency.

Usage

1
HSVaRFigure(Ra, cl)

Arguments

Ra

Vector of profit loss data

cl

ES 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)
   HSVaRFigure(Ra, .95)

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.