NormalESHotspots {Dowd} | R Documentation |
Hotspots for normal ES
Description
Estimates the ES hotspots (or vector of incremental ESs) for a portfolio assuming individual asset returns are normally distributed, for specified confidence level and holding period.
Usage
NormalESHotspots(vc.matrix, mu, positions, cl, hp)
Arguments
vc.matrix |
Variance covariance matrix for returns |
mu |
Vector of expected position returns |
positions |
Vector of positions |
cl |
Confidence level and is scalar |
hp |
Holding period and is scalar |
Value
Hotspots for normal ES
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
# Hotspots for ES for randomly generated portfolio
vc.matrix <- matrix(rnorm(16),4,4)
mu <- rnorm(4,.08,.04)
positions <- c(5,2,6,10)
cl <- .95
hp <- 280
NormalESHotspots(vc.matrix, mu, positions, cl, hp)
[Package Dowd version 0.12 Index]