NormalESConfidenceInterval {Dowd}

Generates Monte Carlo 95% Confidence Intervals for normal ES

Description

Generates 95% confidence intervals for normal ES using Monte Carlo simulation

Usage

NormalESConfidenceInterval(mu, sigma, number.trials, sample.size, cl, hp)

Arguments

mu

Mean of the P/L process

sigma

Standard deviation of the P/L process

number.trials

Number of trials used in the simulations

sample.size

Sample drawn in each trial

cl

Confidence Level

hp

Holding Period

Value

95% confidence intervals for normal ES

Author(s)

Dinesh Acharya

References

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

Examples

# Generates 95\% confidence intervals for normal ES for given parameters
   NormalESConfidenceInterval(0, .5, 20, 20, .95, 90)