GParetoMultipleMEFPlot function

Plot of Emperical and 2 Generalised Pareto mean excess functions

Plots of emperical mean excess function and two generalized pareto mean excess functions which differ in their tail-index value.

GParetoMultipleMEFPlot(Ra, mu, beta, zeta1, zeta2)

Arguments

• Ra: Vector of daily Profit/Loss data
• mu: Location parameter
• beta: Scale parameter
• zeta1: Assumed tail index for first mean excess function
• zeta2: Assumed tail index for second mean excess function

Examples

# Computes ES assuming generalised Pareto for following parameters
   Ra <- 5 * rnorm(100)
   mu <- 1
   beta <- 1.2
   zeta1 <- 1.6
   zeta2 <- 2.2
   GParetoMultipleMEFPlot(Ra, mu, beta, zeta1, zeta2)

Author(s)

Dinesh Acharya

References

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