HSESFigure {Dowd}

Figure of Historical SImulation VaR and ES and histogram of L/P

Description

Plots figure showing the historical simulation VaR and ES and histogram of L/P for specified confidence level and holding period implied by data frequency.

Usage

HSESFigure(Ra, cl)

Arguments

Ra

Vector of profit loss data

cl

VaR confidence level

Author(s)

Dinesh Acharya

References

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

Examples

# Plots figure showing VaR and histogram of P/L data
   Ra <- rnorm(100)
   HSESFigure(Ra, .95)