PCAVaRPlot {Dowd} | R Documentation |

## VaR plot

### Description

Estimates VaR plot using principal components analysis

### Usage

```
PCAVaRPlot(Ra, position.data)
```

### Arguments

`Ra` |
Matrix return data set where each row is interpreted as a set of daily observations, and each column as the returns to each position in a portfolio |

`position.data` |
Position-size vector, giving amount invested in each position |

### Author(s)

Dinesh Acharya

### References

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

### Examples

```
# Computes PCA VaR
Ra <- matrix(rnorm(15*20),15,20)
position.data <- rnorm(20)
PCAVaRPlot(Ra, position.data)
```

[Package

*Dowd*version 0.12 Index]