Dowd (version 0.12)

NormalESPlot3D: Plots normal ES against confidence level and holding period

Description

Plots the ES of a portfolio against confidence level and holding period assuming that P/L is normally distributed, for specified ranges of confidence level and holding period.

Usage

NormalESPlot3D(...)

Arguments

...

The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 3 or 4. In case there 3 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

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 VaR against confidene level given geometric return data
   data <- runif(5, min = 0, max = .2)
   NormalESPlot3D(returns = data, cl = seq(.9,.99,.01), hp = 1:100)

   # Computes VaR against confidence level given mean and standard deviation of return data
   NormalESPlot3D(mu = .012, sigma = .03, cl = seq(.9,.99,.01), hp = 1:100)