Description Usage Arguments Value Author(s) References Examples
Estimates the ES of a multi position portfolio by principal components analysis, using chosen number of principal components and a specified confidence level or range of confidence levels.
1 | PCAES(Ra, position.data, number.of.principal.components, cl)
|
Ra |
Matrix return data set where each row is interpreted as a set of daily observations, and each column as the returns to each position in a portfolio |
position.data |
Position-size vector, giving amount invested in each position |
number.of.principal.components |
Chosen number of principal components |
cl |
Chosen confidence level |
ES
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 4 |
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