Dowd (version 0.12)

LogtESPlot3D: Plots log-t ES against confidence level and holding period

Description

Plots the ES of a portfolio against confidence level and holding period assuming that geometric returns are Student-t distributed, for specified confidence level and holding period.

Usage

LogtESPlot3D(...)

Arguments

...

The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 5 or 6. In case there 5 input arguments, the mean and standard deviation of data is computed from return data. See examples for details.

returns Vector of daily geometric return data

mu Mean of daily geometric return data

sigma Standard deviation of daily geometric return data

investment Size of investment

df Number of degrees of freedom in the t distribution

cl VaR confidence level and must be a vector

hp VaR holding period and must be a vector

References

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

Examples

# Plots ES against confidene level given geometric return data
   data <- rnorm(5, .09, .03)
   LogtESPlot3D(returns = data, investment = 5, df = 6, cl = seq(.9,.99,.01), hp = 1:100)

   # Computes ES against confidence level given mean and standard deviation of return data
   LogtESPlot3D(mu = .012, sigma = .03, investment = 5, df = 6, cl = seq(.9,.99,.01), hp = 1:100)