PCAVaRPlot function

VaR plot

Estimates VaR plot using principal components analysis

PCAVaRPlot(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 VaR
   Ra <- matrix(rnorm(15*20),15,20)
   position.data <- rnorm(20)
   PCAVaRPlot(Ra, position.data)

Author(s)

Dinesh Acharya

References

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