HSVaRFigure function

Figure of Historical SImulation VaR and histogram of L/P

Plots figure showing the historical simulation VaR and histogram of L/P for specified confidence level and holding period implied by data frequency.

HSVaRFigure(Ra, cl)

Arguments

• Ra: Vector of profit loss data
• cl: ES confidence level

Examples

# Plots figure showing VaR and histogram of P/L data
   Ra <- rnorm(100)
   HSVaRFigure(Ra, .95)

Author(s)

Dinesh Acharya

References

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