NormalVaRFigure: Figure of normal VaR and pdf against L/P

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

Description

Gives figure showing the VaR and probability distribution function against L/P of a portfolio assuming P/L are normally distributed, for specified confidence level and holding period.

Usage

NormalVaRFigure(...)

Arguments

...

The input arguments contain either return data or else mean and standard deviation data. 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 and should be scalar hp VaR holding period in days and should be scalar

Author(s)

Dinesh Acharya

References

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

Examples

# Plots normal VaR and pdf against L/P data for given returns data
   data <- runif(5, min = 0, max = .2)
   NormalVaRFigure(returns = data, cl = .95, hp = 90)

   # Plots normal VaR and pdf against L/P data with given parameters
   NormalVaRFigure(mu = .012, sigma = .03, cl = .95, hp = 90)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
Warning messages:
1: In (0L:n) * by :
  Recycling array of length 1 in vector-array arithmetic is deprecated.
  Use c() or as.vector() instead.

2: In from + (0L:n) * by :
  Recycling array of length 1 in array-vector arithmetic is deprecated.
  Use c() or as.vector() instead.

Warning messages:
1: In (0L:n) * by :
  Recycling array of length 1 in vector-array arithmetic is deprecated.
  Use c() or as.vector() instead.

2: In from + (0L:n) * by :
  Recycling array of length 1 in array-vector arithmetic is deprecated.
  Use c() or as.vector() instead.

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