HSESPlot2DCl function

Plots historical simulation ES against confidence level

Function plots the historical simulation ES of a portfolio against confidence level, for specified range of confidence level and holding period implied by data frequency.

HSESPlot2DCl(Ra, cl)

Arguments

• Ra: Vector of daily P/L data
• cl: Vector of ES confidence levels

Examples

   Ra <- rnorm(100)
   cl <- seq(.90, .99, .01)
   HSESPlot2DCl(Ra, cl)

Author(s)

Dinesh Acharya

References

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