HSESDFPerc function

Percentile of historical simulation ES distribution function

Estimates percentiles of historical simulation ES distribution function, using theory of order statistics, for specified confidence level.

HSESDFPerc(Ra, perc, cl)

Arguments

• Ra: Vector of daily P/L data
• perc: Desired percentile and is scalar
• cl: VaR confidence level and is scalar

Returns

Value of percentile of VaR distribution function

Examples

# Estimates Percentiles for random standard normal returns and given perc
   # and cl
   Ra <- rnorm(100)
   HSESDFPerc(Ra, .75, .95)

Author(s)

Dinesh Acharya

References

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