Dowd (version 0.12)

AdjustedNormalESHotspots: Hotspots for ES adjusted by Cornish-Fisher correction

Description

Estimates the ES hotspots (or vector of incremental ESs) for a portfolio with portfolio return adjusted for non-normality by Cornish-Fisher corerction, for specified confidence level and holding period.

Usage

AdjustedNormalESHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)

Arguments

vc.matrix

Variance covariance matrix for returns

mu

Vector of expected position returns

skew

Return skew

kurtosis

Return kurtosis

positions

Vector of positions

cl

Confidence level and is scalar

hp

Holding period and is scalar

References

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

Examples

# Hotspots for ES for randomly generated portfolio
   vc.matrix <- matrix(rnorm(16),4,4)
   mu <- rnorm(4)
   skew <- .5
   kurtosis <- 1.2
   positions <- c(5,2,6,10)
   cl <- .95
   hp <- 280
   AdjustedNormalESHotspots(vc.matrix, mu, skew, kurtosis, positions, cl, hp)