LogtESPlot3D: Plots log-t ES against confidence level and holding period In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

Plots the ES of a portfolio against confidence level and holding period assuming that geometric returns are Student-t distributed, for specified confidence level and holding period.

Usage

 `1` ```LogtESPlot3D(...) ```

Arguments

 `...` The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 5 or 6. In case there 5 input arguments, the mean and standard deviation of data is computed from return data. See examples for details. returns Vector of daily geometric return data mu Mean of daily geometric return data sigma Standard deviation of daily geometric return data investment Size of investment df Number of degrees of freedom in the t distribution cl VaR confidence level and must be a vector hp VaR holding period and must be a vector

Dinesh Acharya

References

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

Examples

 ```1 2 3 4 5 6``` ```# Plots ES against confidene level given geometric return data data <- rnorm(5, .09, .03) LogtESPlot3D(returns = data, investment = 5, df = 6, cl = seq(.9,.99,.01), hp = 1:100) # Computes ES against confidence level given mean and standard deviation of return data LogtESPlot3D(mu = .012, sigma = .03, investment = 5, df = 6, cl = seq(.9,.99,.01), hp = 1:100) ```

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