PCAESPlot function

ES plot

Estimates ES plot using principal components analysis

PCAESPlot(Ra, position.data)

Arguments

• Ra: Matrix return data set where each row is interpreted as a set of daily observations, and each column as the returns to each position in a portfolio
• position.data: Position-size vector, giving amount invested in each position

Examples

# Computes PCA ES
   Ra <- matrix(rnorm(15*20),15,20)
   position.data <- rnorm(20)
   PCAESPlot(Ra, position.data)

Author(s)

Dinesh Acharya

References

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