Dowd (version 0.12)

GParetoVaR: VaR for Generalized Pareto

Description

Estimates the Value at Risk of a portfolio assuming losses are distributed as a generalised Pareto.

Usage

GParetoVaR(Ra, beta, zeta, threshold.prob, cl)

Arguments

Ra

Vector of daily Profit/Loss data

beta

Assumed scale parameter

zeta

Assumed tail index

threshold.prob

Threshold probability corresponding to threshold u and x

cl

VaR confidence level

Value

Expected Shortfall

References

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

McNeil, A., Extreme value theory for risk managers. Mimeo, ETHZ, 1999.

Examples

# Computes ES assuming generalised Pareto for following parameters
   Ra <- 5 * rnorm(100)
   beta <- 1.2
   zeta <- 1.6
   threshold.prob <- .85
   cl <- .99
   GParetoVaR(Ra, beta, zeta, threshold.prob, cl)