tVaRPlot3D {Dowd} R Documentation

Plots t VaR against confidence level and holding period

Description

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

Usage

tVaRPlot3D(...)


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 geometric return data mu Mean of daily geometric return data sigma Standard deviation of daily geometric return 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 VaR against confidene level given geometric return data
data <- runif(5, min = 0, max = .2)
tVaRPlot3D(returns = data, df = 6, cl = seq(.85,.99,.01), hp = 60:90)

# Computes VaR against confidence level given mean and standard deviation of return data
tVaRPlot3D(mu = .012, sigma = .03, df = 6, cl = seq(.85,.99,.02), hp = 40:80)


[Package Dowd version 0.12 Index]