NormalSpectralRiskMeasure: Estimates the spectral risk measure of a portfolio

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

Function estimates the spectral risk measure of a portfolio assuming losses are normally distributed, assuming exponential weighting function with specified gamma.

Usage

NormalSpectralRiskMeasure(mu, sigma, gamma, number.of.slices)

Arguments

mu	Mean losses
sigma	Standard deviation of losses
gamma	Gamma parameter in exponential risk aversion
number.of.slices	Number of slices into which density function is divided

Value

Estimated spectral risk measure

Author(s)

Dinesh Acharya

References

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

Examples

# Generates 95% confidence intervals for normal VaR for given parameters
   NormalSpectralRiskMeasure(0, .5, .8, 20)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
Registered S3 method overwritten by 'quantmod':
  method            from
  as.zoo.data.frame zoo 
[1] "Crude Estimate Of Risk Measure: 0.142768662020071"
[1] "Crude Halving Error: 0.0224154413440469"
[1] "Trapezoidal Estimate: 0.112619630564451"
[1] "Trapezoidal Halving Error: -0.0387065893409332"
[1] "Simpsons Estimate: 0.0927197448591362"
[1] "Simpsons Halving Error: 0.00147447645248001"

Dowd documentation built on May 2, 2019, 6:15 p.m.