NormalESConfidenceInterval function

Generates Monte Carlo 95% Confidence Intervals for normal ES

Generates 95% confidence intervals for normal ES using Monte Carlo simulation

NormalESConfidenceInterval(mu, sigma, number.trials, sample.size, cl, hp)

Arguments

• mu: Mean of the P/L process
• sigma: Standard deviation of the P/L process
• number.trials: Number of trials used in the simulations
• sample.size: Sample drawn in each trial
• cl: Confidence Level
• hp: Holding Period

Returns

95% confidence intervals for normal ES

Examples

# Generates 95\% confidence intervals for normal ES for given parameters
   NormalESConfidenceInterval(0, .5, 20, 20, .95, 90)

Author(s)

Dinesh Acharya

References

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