NormalSpectralRiskMeasure function

Estimates the spectral risk measure of a portfolio

Function estimates the spectral risk measure of a portfolio assuming losses are normally distributed, assuming exponential weighting function with specified gamma.

NormalSpectralRiskMeasure(mu, sigma, gamma, number.of.slices)

Arguments

• mu: Mean losses
• sigma: Standard deviation of losses
• gamma: Gamma parameter in exponential risk aversion
• number.of.slices: Number of slices into which density function is divided

Returns

Estimated spectral risk measure

Examples

# Generates 95% confidence intervals for normal VaR for given parameters
   NormalSpectralRiskMeasure(0, .5, .8, 20)

Author(s)

Dinesh Acharya

References

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