Dowd (version 0.12)

AdjustedVarianceCovarianceES: Cornish-Fisher adjusted Variance-Covariance ES

Description

Function estimates the Variance-Covariance ES of a multi-asset portfolio using the Cornish - Fisher adjustment for portfolio return non-normality, for specified confidence level and holding period.

Usage

AdjustedVarianceCovarianceES(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

# Variance-covariance 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
   AdjustedVarianceCovarianceES(vc.matrix, mu, skew, kurtosis, positions, cl, hp)