NormalESPlot2DHP {Dowd}R Documentation

Plots normal ES against holding period


Plots the ES of a portfolio against holding period assuming that P/L distribution is normally distributed, for specified confidence level and holding period.





The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 3 or 4. In case there 3 input arguments, the mean and standard deviation of data is computed from return data. See examples for details.

returns Vector of daily geometric return data

mu Mean of daily geometric return data

sigma Standard deviation of daily geometric return data

cl ES confidence level and must be a scalar

hp ES holding period and must be a vector


Dinesh Acharya


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


# Computes ES given geometric return data
   data <- runif(5, min = 0, max = .2)
   NormalESPlot2DHP(returns = data, cl = .95, hp = 60:90)

   # Computes v given mean and standard deviation of return data
   NormalESPlot2DHP(mu = .012, sigma = .03, cl = .99, hp = 40:80)

[Package Dowd version 0.12 Index]