tESPlot3D function

Plots t ES against confidence level and holding period

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

tESPlot3D(...)

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 P/L data

  mu Mean of daily P/L data

  sigma Standard deviation of daily P/L data

  df Number of degrees of freedom in the t distribution

  cl VaR confidence level and must be a vector

  hp VaR holding period and must be a vector

Examples

# Plots ES against confidene level given P/L data
   data <- runif(5, min = 0, max = .2)
   tESPlot3D(returns = data, df = 6, cl = seq(.85,.99,.01), hp = 60:90)

   # Computes ES against confidence level given mean and standard deviation of return data
   tESPlot3D(mu = .012, sigma = .03, df = 6, cl = seq(.85,.99,.02), hp = 40:80)

Author(s)

Dinesh Acharya

References

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