LogNormalESPlot2DCL function

Plots log normal ES against confidence level

Plots the ES of a portfolio against confidence level assuming that geometric returns are normally distributed, for specified confidence level and holding period.

LogNormalESPlot2DCL(...)

Arguments

• ...: The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 5. In case there 4 input arguments, the mean and standard deviation of data is computed from return data. See examples for details.

  returns Vector of daily geometric return data

  mu Mean of daily geometric return data

  sigma Standard deviation of daily geometric return data

  investment Size of investment

  cl ES confidence level and must be a vector

  hp ES holding period and must be a scalar

Examples

# Plots ES against confidence level
   data <- runif(5, min = 0, max = .2)
   LogNormalESPlot2DCL(returns = data, investment = 5,
                       cl = seq(.9,.99,.01), hp = 60)

   # Plots ES against confidence level
   LogNormalESPlot2DCL(mu = .012, sigma = .03, investment = 5,
                       cl = seq(.9,.99,.01), hp = 40)

Author(s)

Dinesh Acharya

References

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