NormalESDFPerc function

Percentiles of ES distribution function for normally distributed P/L data

Estimates the percentiles of ES distribution for normally distributed P/L data, for specified confidence level and holding period using the theory of order statistics.

NormalESDFPerc(...)

Arguments

• ...: The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 6. In case there 4 input arguments, the mean, standard deviation and number of samples 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

  n Sample size

  perc Desired percentile

  cl ES confidence level and must be a scalar

  hp ES holding period and must be a a scalar

Returns

Percentiles of ES distribution function

Examples

# Estimates Percentiles of ES distribution
   data <- runif(5, min = 0, max = .2)
   NormalESDFPerc(returns = data, perc = .7, cl = .95, hp = 60)

   # Estimates Percentiles given mean, standard deviation and number of sambles of return data
   NormalESDFPerc(mu = .012, sigma = .03, n= 10, perc = .8, cl = .99, hp = 40)

Author(s)

Dinesh Acharya

References

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