FrechetVaRPlot2DCl {Dowd}

Plots Frechet Value at Risk against Cl

Description

Plots the VaR of a portfolio against confidence level assuming extreme losses are Frechet distributed, for specified range of confidence level and a given holding period.

Usage

FrechetVaRPlot2DCl(mu, sigma, tail.index, n, cl, hp)

Arguments

mu

Location parameter for daily L/P

sigma

Scale parameter for daily L/P

tail.index

Tail index

n

Block size from which maxima are drawn

cl

Confidence level and should be a vector

hp

Holding period and should be a scalar

Details

Note that the long-right-hand tail is fitted to losses, not profits.

Author(s)

Dinesh Acharya

References

Dowd, K. Measurh ing Market Risk, Wiley, 2007.

Embrechts, P., Kluppelberg, C. and Mikosch, T., Modelling Extremal Events for Insurance and Finance. Springer, Berlin, 1997, p. 324.

Reiss, R. D. and Thomas, M. Statistical Analysis of Extreme Values from Insurance, Finance, Hydrology and Other Fields, Birkhaueser, Basel, 1997, 15-18.

Examples

# Plots VaR against vector of cl assuming Frechet Distribution for given parameters
   cl <- seq(0.9, .99, .01)
   FrechetVaRPlot2DCl(3.5, 2.3, 1.6, 10, cl, 30)