LogtESPlot2DHP function

Plots log-t ES against holding period

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

LogtESPlot2DHP(...)

Arguments

• ...: The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 5 or 6. In case there 5 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

  df Number of degrees of freedom in the t distribution

  cl ES confidence level and must be a scalar

  hp ES holding period and must be a vector

Examples

# Computes ES given geometric return data
   data <- runif(5, min = 0, max = .2)
   LogtESPlot2DHP(returns = data, investment = 5, df = 6, cl = .95, hp = 60:90)

   # Computes v given mean and standard deviation of return data
   LogtESPlot2DHP(mu = .012, sigma = .03, investment = 5, df = 6, cl = .99, hp = 40:80)

Author(s)

Dinesh Acharya

References

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