tVaRPlot2DCL: Plots t VaR against confidence level

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

Description

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

Usage

tVaRPlot2DCL(...)

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 P/L data data mu Mean of daily P/L data data sigma Standard deviation of daily P/L data data df Number of degrees of freedom in the t distribution cl VaR confidence level and must be a vector hp VaR holding period and must be a scalar

Author(s)

Dinesh Acharya

References

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

Examples

# Plots VaR against confidene level given P/L data data
   data <- runif(5, min = 0, max = .2)
   tVaRPlot2DCL(returns = data, df = 6, cl = seq(.85,.99,.01), hp = 60)

   # Computes VaR against confidence level given mean and standard deviation of P/L data
   tVaRPlot2DCL(mu = .012, sigma = .03, df = 6, cl = seq(.85,.99,.01), hp = 40)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast

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