inst/BookEx/C9R1.R

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

library(QRM)
library(fGarch)
## Losses
data(EuStockMarkets)
loss <-  as.data.frame(na.omit(-1.0 * diff(log(EuStockMarkets)) *
                               100.0))
## GARCH
gfit <- lapply(loss, garchFit,  formula = ~ garch(1,1),
               cond.dist = "std", trace = FALSE)
gprog <- unlist(lapply(gfit, function(x)
                predict(x, n.ahead = 1)[3]))
gshape <- unlist(lapply(gfit, function(x) x@fit$coef[5]))
gresid <- as.matrix(data.frame(lapply(gfit,
                    function(x) x@residuals / sqrt(x@h.t))))
## Copula
U <- sapply(1:4, function(y) pt(gresid[, y], df = gshape[y]))
cop <- fit.tcopula(Udata = U, method = "Kendall")
rcop <- rcopula.t(100000, df = cop$nu, Sigma = cop$P)
qcop <- sapply(1:4, function(x) qstd(rcop[, x], nu = gshape[x]))
ht.mat <- matrix(gprog, nrow = 100000, ncol = ncol(loss),
                 byrow = TRUE)
pf <- qcop * ht.mat
## ES 95 percent
weights <- c(0.4, 0.2, 0.2, 0.2)
pfall <- (qcop * ht.mat) %*% weights
pfall.es95 <- median(tail(sort(pfall), 5000))
pfall.es95