Dowd (version 0.12)

tESPlot2DCL: Plots t- ES against confidence level

Description

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

Usage

tESPlot2DCL(...)

Arguments

...

The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 5. In case there 4 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

df Number of degrees of freedom in the t distribution

cl ES confidence level and must be a vector

hp ES holding period and must be a scalar

References

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

Evans, M., Hastings, M. and Peacock, B. Statistical Distributions, 3rd edition, New York: John Wiley, ch. 38,39.

Examples

# Computes ES given geometric return data
   data <- runif(5, min = 0, max = .2)
   tESPlot2DCL(returns = data, df = 6, cl = seq(.9,.99,.01), hp = 60)

   # Computes v given mean and standard deviation of return data
   tESPlot2DCL(mu = .012, sigma = .03, df = 6, cl = seq(.9,.99,.01), hp = 40)