Plots historical simulation VaR against confidence level

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Description

Function plots the historical simulation VaR of a portfolio against confidence level, for specified range of confidence level and holding period implied by data frequency.

Usage

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HSVaRPlot2DCl(Ra, cl)

Arguments

Ra

Vector of daily P/L data

cl

Vector of VaR confidence levels

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

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# Plots historical simulation VaR against confidence level
   Ra <- rnorm(100)
   cl <- seq(.90, .99, .01)
   HSVaRPlot2DCl(Ra, cl)

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