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

Description Usage Arguments Author(s) References Examples

View source: R/HSVaRFigure.R

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

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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

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# Plots figure showing VaR and histogram of P/L data
   Ra <- rnorm(100)
   HSVaRFigure(Ra, .95)

Dowd documentation built on May 31, 2017, 4:46 a.m.