NormalVaRHotspots: Hotspots for normal VaR

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

Description

Estimates the VaR hotspots (or vector of incremental VaRs) for a portfolio assuming individual asset returns are normally distributed, for specified confidence level and holding period.

Usage

NormalVaRHotspots(vc.matrix, mu, positions, cl, hp)

Arguments

vc.matrix	Variance covariance matrix for returns
mu	Vector of expected position returns
positions	Vector of positions
cl	Confidence level and is scalar
hp	Holding period and is scalar

Value

Hotspots for normal VaR

Author(s)

Dinesh Acharya

References

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

Examples

# Hotspots for ES for randomly generated portfolio
   vc.matrix <- matrix(rnorm(16),4,4)
   mu <- rnorm(4,.08,.04)
   positions <- c(5,2,6,10)
   cl <- .95
   hp <- 280
   NormalVaRHotspots(vc.matrix, mu, positions, cl, hp)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1]  1692.230725     9.146343 -1692.068471 -4184.460374

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