GumbelESPlot2DCl function

Gumbel VaR

Estimates the EV VaR of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period.

GumbelESPlot2DCl(mu, sigma, n, cl, hp)

Arguments

• mu: Location parameter for daily L/P
• sigma: Assumed scale parameter for daily L/P
• n: size from which the maxima are drawn
• cl: VaR confidence level
• hp: VaR holding period

Examples

# Plots ES against Cl
   GumbelESPlot2DCl(0, 1.2, 100, seq(0.8,0.99,0.02), 280)

Author(s)

Dinesh Acharya

References

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