HSESDFPerc {Dowd} | R Documentation |
Percentile of historical simulation ES distribution function
Description
Estimates percentiles of historical simulation ES distribution function, using theory of order statistics, for specified confidence level.
Usage
HSESDFPerc(Ra, perc, cl)
Arguments
Ra |
Vector of daily P/L data |
perc |
Desired percentile and is scalar |
cl |
VaR confidence level and is scalar |
Value
Value of percentile of VaR distribution function
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
# Estimates Percentiles for random standard normal returns and given perc
# and cl
Ra <- rnorm(100)
HSESDFPerc(Ra, .75, .95)
[Package Dowd version 0.12 Index]