tESFigure: Figure of t - VaR and ES 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 ES and probability distribution function assuming P/L is t- distributed, for specified confidence level and holding period.

Usage

tESFigure(...)

Arguments

...

The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 5. In case there 4 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 df Number of degrees of freedom 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.

Evans, M., Hastings, M. and Peacock, B. Statistical Distributions, 3rd edition, New York: John Wiley, ch. 38,39.

Examples

# Plots lognormal VaR, ES and pdf against L/P data for given returns data
   data <- runif(5, min = 0, max = .2)
   tESFigure(returns = data, df = 10, cl = .95, hp = 90)

   # Plots lognormal VaR, ES and pdf against L/P data with given parameters
   tESFigure(mu = .012, sigma = .03, df = 10, cl = .95, hp = 90)

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