BootstrapVaR {Dowd}

Bootstrapped VaR for specified confidence level

Description

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

Usage

BootstrapVaR(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 Value at Risk confidence level

Value

Bootstrapped VaR

Author(s)

Dinesh Acharya

References

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

Examples

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