NormalVaRHotspots {Dowd}

Hotspots for normal VaR

Description

Estimates the VaR hotspots (or vector of incremental VaRs) for a portfolio assuming individual asset returns are normally distributed, for specified confidence level and holding period.

Usage

NormalVaRHotspots(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 VaR

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
   NormalVaRHotspots(vc.matrix, mu, positions, cl, hp)