GParetoMEFPlot function

Plot of Emperical and Generalised Pareto mean excess functions

Plots of emperical mean excess function and Generalized mean excess function.

GParetoMEFPlot(Ra, mu, beta, zeta)

Arguments

• Ra: Vector of daily Profit/Loss data
• mu: Location parameter
• beta: Scale parameter
• zeta: Assumed tail index

Examples

# Computes ES assuming generalised Pareto for following parameters
   Ra <- 5 * rnorm(100)
   mu <- 0
   beta <- 1.2
   zeta <- 1.6
   GParetoMEFPlot(Ra, mu, beta, zeta)

Author(s)

Dinesh Acharya

References

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