tVaRESPlot2DCL {Dowd} | R Documentation |

## Plots t VaR and ES against confidence level

### Description

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

### Usage

```
tVaRESPlot2DCL(...)
```

### 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 are 4 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 VaR confidence level and must be a vector hp VaR holding period and must be a scalar |

### Author(s)

Dinesh Acharya

### References

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

### Examples

```
# Plots VaR and ETL against confidene level given P/L data
data <- runif(5, min = 0, max = .2)
tVaRESPlot2DCL(returns = data, df = 7, cl = seq(.85,.99,.01), hp = 60)
# Computes VaR against confidence level given mean and standard deviation of P/L data
tVaRESPlot2DCL(mu = .012, sigma = .03, df = 7, cl = seq(.85,.99,.01), hp = 40)
```

[Package

*Dowd*version 0.12 Index]