BootstrapESConfInterval function

Bootstrapped ES Confidence Interval

Estimates the 90

level and holding period implied by data frequency.

BootstrapESConfInterval(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

90

Examples

# To be modified with appropriate data.
   # Estimates 90% confidence interval for bootstrapped ES for 95%
   # confidence interval
   Ra <- rnorm(1000)
   BootstrapESConfInterval(Ra, 50, 0.95)

Author(s)

Dinesh Acharya

References

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