tESPlot2DCL function

Plots t- ES against confidence level

Plots the ES of a portfolio against confidence level, assuming that L/P is t distributed, for specified confidence level and holding period.

tESPlot2DCL(...)

Arguments

• ...: The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 5. In case there 4 input arguments, the mean and standard deviation of data 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

  df Number of degrees of freedom in the t distribution

  cl ES confidence level and must be a vector

  hp ES holding period and must be a scalar

Examples

# Computes ES given geometric return data
   data <- runif(5, min = 0, max = .2)
   tESPlot2DCL(returns = data, df = 6, cl = seq(.9,.99,.01), hp = 60)

   # Computes v given mean and standard deviation of return data
   tESPlot2DCL(mu = .012, sigma = .03, df = 6, cl = seq(.9,.99,.01), hp = 40)

Author(s)

Dinesh Acharya

References

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

Evans, M., Hastings, M. and Peacock, B. Statistical Distributions, 3rd edition, New York: John Wiley, ch. 38,39.