HSVaR {Dowd}

Value at Risk of a portfolio using Historical Estimator

Description

Estimates the Value at Risk (VaR) using historical estimator approach for the specified range of confidence levels and the holding period implies by data frequency.

Usage

HSVaR(Ra, Rb)

Arguments

Ra

Vector corresponding to profit and loss distribution

Rb

Scalar corresponding to VaR confidence levels.

Value

Value at Risk of the portfolio

Author(s)

Dinesh Acharya

References

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

Jorion, P. Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill, 2006

Cont, R., Deguest, R. and Scandolo, G. Robustness and sensitivity analysis of risk measurement procedures. Quantitative Finance, 10(6), 2010, 593-606.

Artzner, P., Delbaen, F., Eber, J.M. and Heath, D. Coherent Risk Measures of Risk. Mathematical Finance 9(3), 1999, 203.

Foellmer, H. and Scheid, A. Stochastic Finance: An Introduction in Discrete Time. De Gryuter, 2011.

Examples

# To be added
   a <- rnorm(1000) # Payoffs of random portfolio
   HSVaR(a, .95)