tESPlot2DHP {Dowd}

Plots t ES against holding period

Description

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

Usage

tESPlot2DHP(...)

Arguments

...

The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 5. In case there 4 input arguments, the mean and standard deviation of data is computed from return data. See examples for details.

returns Vector of daily P/L data

mu Mean of daily P/L data

sigma Standard deviation of daily P/L data

df Number of degrees of freedom in the t distribution

cl ES confidence level and must be a scalar

hp ES holding period and must be a vector

Author(s)

Dinesh Acharya

References

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

Evans, M., Hastings, M. and Peacock, B. Statistical Distributions, 3rd edition, New York: John Wiley, ch. 38,39.

Examples

# Computes ES given geometric return data
   data <- runif(5, min = 0, max = .2)
   tESPlot2DHP(returns = data, df = 6, cl = .95, hp = 60:90)

   # Computes v given mean and standard deviation of return data
   tESPlot2DHP(mu = .012, sigma = .03, df = 6, cl = .99, hp = 40:80)