NormalVaRPlot2DHP: Plots normal VaR against holding period

Description Usage Arguments Author(s) References Examples

View source: R/NormalVaRPlot2DHP.R

Description

Plots the VaR of a portfolio against holding period assuming that P/L are normally distributed, for specified confidence level and holding period.

Usage

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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 must be a scalar

hp VaR holding period and must be a vector

Author(s)

Dinesh Acharya

References

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

Examples

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# Computes VaR given P/L data
   data <- runif(5, min = 0, max = .2)
   NormalVaRPlot2DHP(returns = data, cl = .95, hp = 60:90)

   # Computes VaR given mean and standard deviation of P/L data
   NormalVaRPlot2DHP(mu = .012, sigma = .03, cl = .99, hp = 40:80)

Dowd documentation built on May 31, 2017, 4:46 a.m.

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