Description Usage Arguments Value Author(s) References Examples
Generates 95% confidence intervals for normal ES using Monte Carlo simulation
1 | NormalESConfidenceInterval(mu, sigma, number.trials, sample.size, cl, hp)
|
mu |
Mean of the P/L process |
sigma |
Standard deviation of the P/L process |
number.trials |
Number of trials used in the simulations |
sample.size |
Sample drawn in each trial |
cl |
Confidence Level |
hp |
Holding Period |
95% confidence intervals for normal ES
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 | # Generates 95\% confidence intervals for normal ES for given parameters
NormalESConfidenceInterval(0, .5, 20, 20, .95, 90)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.