Description Usage Arguments Value Author(s) References Examples
Estimates the ES of a portfolio assuming that P/L is normally distributed, for specified confidence level and holding period.
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The input arguments contain either return data or else mean and standard deviation data along with the remaining arguments. Accordingly, number of input arguments is either 3 or 4. In case there 3 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 cl VaR confidence level hp VaR holding period in days |
Matrix of ES whose dimension depends on dimension of hp and cl. If cl and hp are both scalars, the matrix is 1 by 1. If cl is a vector and hp is a scalar, the matrix is row matrix, if cl is a scalar and hp is a vector, the matrix is column matrix and if both cl and hp are vectors, the matrix has dimension length of cl * length of hp.
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
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