tVaRPlot2DHP {Dowd}R Documentation

Plots t VaR against holding period


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





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 data

mu Mean of daily P/L data data

sigma Standard deviation of daily P/L data data

df Number of degrees of freedom in the t distribution

cl VaR confidence level and must be a scalar

hp VaR holding period and must be a vector


Dinesh Acharya


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


# Computes VaR given P/L data data
   data <- runif(5, min = 0, max = .2)
   tVaRPlot2DHP(returns = data, df = 6, cl = .95, hp = 60:90)

   # Computes VaR given mean and standard deviation of return data
   tVaRPlot2DHP(mu = .012, sigma = .03, df = 6, cl = .99, hp = 40:80)

[Package Dowd version 0.12 Index]