BootstrapES {Dowd}

Bootstrapped ES for specified confidence level

Description

Estimates the bootstrapped ES for confidence level and holding period implied by data frequency.

Usage

BootstrapES(Ra, number.resamples, cl)

Arguments

Ra

Vector corresponding to profit and loss distribution

number.resamples

Number of samples to be taken in bootstrap procedure

cl

Number corresponding to Expected Shortfall confidence level

Value

Bootstrapped Expected Shortfall

Author(s)

Dinesh Acharya

References

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

Examples

# Estimates bootstrapped ES for given parameters
   a <- rnorm(100) # generate a random profit/loss vector
   BootstrapVaR(a, 50, 0.95)