tESPlot3D {Dowd} R Documentation

## Plots t ES against confidence level and holding period

### Description

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

### Usage

tESPlot3D(...)


### 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 VaR confidence level and must be a vector hp VaR holding period and must be a vector

Dinesh Acharya

### References

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

### Examples

# Plots ES against confidene level given P/L data
data <- runif(5, min = 0, max = .2)
tESPlot3D(returns = data, df = 6, cl = seq(.85,.99,.01), hp = 60:90)

# Computes ES against confidence level given mean and standard deviation of return data
tESPlot3D(mu = .012, sigma = .03, df = 6, cl = seq(.85,.99,.02), hp = 40:80)


[Package Dowd version 0.12 Index]