GParetoMEFPlot {Dowd}

Plot of Emperical and Generalised Pareto mean excess functions

Description

Plots of emperical mean excess function and Generalized mean excess function.

Usage

GParetoMEFPlot(Ra, mu, beta, zeta)

Arguments

Ra

Vector of daily Profit/Loss data

mu

Location parameter

beta

Scale parameter

zeta

Assumed tail index

Author(s)

Dinesh Acharya

References

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

Examples

# Computes ES assuming generalised Pareto for following parameters
   Ra <- 5 * rnorm(100)
   mu <- 0
   beta <- 1.2
   zeta <- 1.6
   GParetoMEFPlot(Ra, mu, beta, zeta)