VarianceCovarianceES function

Variance-covariance ES for normally distributed returns

Estimates the variance-covariance VaR of a portfolio assuming individual asset returns are normally distributed, for specified confidence level and holding period.

VarianceCovarianceES(vc.matrix, mu, positions, cl, hp)

Arguments

• vc.matrix: Variance covariance matrix for returns
• mu: Vector of expected position returns
• positions: Vector of positions
• cl: Confidence level and is scalar
• hp: Holding period and is scalar

Examples

# Variance-covariance ES for randomly generated portfolio
   vc.matrix <- matrix(rnorm(16), 4, 4)
   mu <- rnorm(4)
   positions <- c(5, 2, 6, 10)
   cl <- .95
   hp <- 280
   VarianceCovarianceES(vc.matrix, mu, positions, cl, hp)

Author(s)

Dinesh Acharya

References

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