BootstrapES function

Bootstrapped ES for specified confidence level

Estimates the bootstrapped ES for confidence level and holding period implied by data frequency.

BootstrapES(Ra, number.resamples, cl)

Arguments

• Ra: Vector corresponding to profit and loss distribution
• number.resamples: Number of samples to be taken in bootstrap procedure
• cl: Number corresponding to Expected Shortfall confidence level

Returns

Bootstrapped Expected Shortfall

Examples

# Estimates bootstrapped ES for given parameters
   a <- rnorm(100) # generate a random profit/loss vector
   BootstrapVaR(a, 50, 0.95)

Author(s)

Dinesh Acharya

References

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