GumbelESPlot2DCl {Dowd} | R Documentation |
Gumbel VaR
Description
Estimates the EV VaR of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period.
Usage
GumbelESPlot2DCl(mu, sigma, n, cl, hp)
Arguments
mu |
Location parameter for daily L/P |
sigma |
Assumed scale parameter for daily L/P |
n |
size from which the maxima are drawn |
cl |
VaR confidence level |
hp |
VaR holding period |
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
# Plots ES against Cl
GumbelESPlot2DCl(0, 1.2, 100, seq(0.8,0.99,0.02), 280)
[Package Dowd version 0.12 Index]