Dowd (version 0.12)

FrechetESPlot2DCl: Plots Frechet Expected Shortfall against confidence level

Description

Plots the ES of a portfolio against confidence level assuming extreme losses are Frechet distributed, for specified confidence level and a given holding period.

Usage

FrechetESPlot2DCl(mu, sigma, tail.index, n, cl, hp)

Arguments

mu

Location parameter for daily L/P

sigma

Scale parameter for daily L/P

tail.index

Tail index

n

Block size from which maxima are drawn

cl

Confidence level and should be a vector

hp

Holding period

Details

Note that the long-right-hand tail is fitted to losses, not profits.

References

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

Embrechts, P., Kluppelberg, C. and Mikosch, T., Modelling Extremal Events for Insurance and Finance. Springer, Berlin, 1997, p. 324.

Reiss, R. D. and Thomas, M. Statistical Analysis of Extreme Values from Insurance, Finance, Hydrology and Other Fields, Birkhaueser, Basel, 1997, 15-18.

Examples

# Plots ES against vector of cl assuming Frechet Distribution for given parameters
   cl <- seq(0.9,0.99,0.01)
   FrechetESPlot2DCl(3.5, 2.3, 1.6, 10, cl, 30)