GumbelVaR {Dowd}

Gumbel VaR

Description

Estimates the EV VaR of a portfolio assuming extreme losses are Gumbel distributed, for specified confidence level and holding period.

Usage

GumbelVaR(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

Value

Estimated VaR

Author(s)

Dinesh Acharya

References

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

Examples

# Gumbel VaR
   GumbelVaR(0, 1.2, 100, c(.9,.88, .85, .8), 280)