Description Usage Arguments Details Author(s) References See Also Examples

View source: R/chart.VaRSensitivity.R

Creates a chart of Value-at-Risk and/or Expected Shortfall estimates by confidence interval for multiple methods.

1 2 3 4 5 6 7 | ```
chart.VaRSensitivity(R, methods = c("GaussianVaR", "ModifiedVaR",
"HistoricalVaR", "GaussianES", "ModifiedES", "HistoricalES"),
clean = c("none", "boudt", "geltner"), elementcolor = "darkgray",
reference.grid = TRUE, xlab = "Confidence Level",
ylab = "Value at Risk", type = "l", lty = c(1, 2, 4), lwd = 1,
colorset = (1:12), pch = (1:12), legend.loc = "bottomleft",
cex.legend = 0.8, main = NULL, ylim = NULL, ...)
``` |

`R` |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |

`methods` |
one or more calculation methods indicated "GaussianVaR",
"ModifiedVaR", "HistoricalVaR", "GaussianES", "ModifiedES", "HistoricalES".
See |

`clean` |
method for data cleaning through |

`elementcolor` |
the color used to draw chart elements. The default is "darkgray" |

`reference.grid` |
if true, draws a grid aligned with the points on the x and y axes |

`xlab` |
set the x-axis label, same as in |

`ylab` |
set the y-axis label, same as in |

`type` |
set the chart type, same as in |

`lty` |
set the line type, same as in |

`lwd` |
set the line width, same as in |

`colorset` |
color palette to use, set by default to rational choices |

`pch` |
symbols to use, see also |

`legend.loc` |
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. |

`cex.legend` |
The magnification to be used for sizing the legend relative to the current setting of 'cex'. |

`main` |
set the chart title, same as in |

`ylim` |
set the y-axis dimensions, same as in |

`...` |
any other passthru parameters |

This chart shows estimated VaR along a series of confidence intervals for selected calculation methods. Useful for comparing a method to the historical VaR calculation.

Peter Carl

Boudt, K., Peterson, B. G., Croux, C., 2008. Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns. Journal of Risk, forthcoming.

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