GumbelES {Dowd} | R Documentation |

## Gumbel ES

### Description

Estimates the ES of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period. Note that the long-right-hand tail is fitted to losses, not profits.

### Usage

```
GumbelES(mu, sigma, n, cl, hp)
```

### Arguments

`mu` |
Location parameter for daily L/P |

`sigma` |
Assumed scale parameter for daily L/P |

`n` |
Assumed block size from which the maxima are drawn |

`cl` |
VaR confidence level |

`hp` |
VaR holding period |

### Value

Estimated ES. If cl and hp are scalars, it returns scalar VaR. If cl is vector and hp is a scalar, or viceversa, returns vector of VaRs. If both cl and hp are vectors, returns a matrix of VaRs.

### Author(s)

Dinesh Acharya

### References

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

National Institute of Standards and Technology, Dataplot Reference Manual. Volume 1: Commands. NIST: Washington, DC, 1997, p. 8-67.

### Examples

```
# Gumber ES Plot
GumbelES(0, 1.2, 100, c(.9,.88, .85, .8), 280)
```

[Package

*Dowd*version 0.12 Index]