BootstrapVaR function

Bootstrapped VaR for specified confidence level

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

BootstrapVaR(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 Value at Risk confidence level

Returns

Bootstrapped VaR

Examples

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

Author(s)

Dinesh Acharya

References

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