Dowd (version 0.12)

GParetoMultipleMEFPlot: Plot of Emperical and 2 Generalised Pareto mean excess functions

Description

Plots of emperical mean excess function and two generalized pareto mean excess functions which differ in their tail-index value.

Usage

GParetoMultipleMEFPlot(Ra, mu, beta, zeta1, zeta2)

Arguments

Ra

Vector of daily Profit/Loss data

mu

Location parameter

beta

Scale parameter

zeta1

Assumed tail index for first mean excess function

zeta2

Assumed tail index for second mean excess function

References

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

Examples

# Computes ES assuming generalised Pareto for following parameters
   Ra <- 5 * rnorm(100)
   mu <- 1
   beta <- 1.2
   zeta1 <- 1.6
   zeta2 <- 2.2
   GParetoMultipleMEFPlot(Ra, mu, beta, zeta1, zeta2)