show the sensitivity of Value-at-Risk or Expected Shortfall estimates
Creates a chart of Value-at-Risk and/or Expected Shortfall estimates by confidence interval for multiple methods.
chart.VaRSensitivity(
R,
methods = c("GaussianVaR", "ModifiedVaR", "HistoricalVaR", "GaussianES", "ModifiedES",
"HistoricalES"),
clean = c("none", "boudt", "geltner"),
elementcolor = "darkgray",
reference.grid = TRUE,
xlab = "Confidence Level",
ylab = "Value at Risk",
type = "l",
lty = c(1, 2, 4),
lwd = 1,
colorset = (1:12),
pch = (1:12),
legend.loc = "bottomleft",
cex.legend = 0.8,
main = NULL,
ylim = NULL,
...
)R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
methods |
one or more calculation methods indicated "GaussianVaR",
"ModifiedVaR", "HistoricalVaR", "GaussianES", "ModifiedES", "HistoricalES".
See |
clean |
method for data cleaning through |
elementcolor |
the color used to draw chart elements. The default is "darkgray" |
reference.grid |
if true, draws a grid aligned with the points on the x and y axes |
xlab |
set the x-axis label, same as in |
ylab |
set the y-axis label, same as in |
type |
set the chart type, same as in |
lty |
set the line type, same as in |
lwd |
set the line width, same as in |
colorset |
color palette to use, set by default to rational choices |
pch |
symbols to use, see also |
legend.loc |
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. |
cex.legend |
The magnification to be used for sizing the legend relative to the current setting of 'cex'. |
main |
set the chart title, same as in |
ylim |
set the y-axis dimensions, same as in |
... |
any other passthru parameters |
This chart shows estimated VaR along a series of confidence intervals for selected calculation methods. Useful for comparing a method to the historical VaR calculation.
Peter Carl
Boudt, K., Peterson, B. G., Croux, C., 2008. Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns. Journal of Risk, forthcoming.
data(managers)
chart.VaRSensitivity(managers[,1,drop=FALSE],
methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"),
colorset=bluefocus, lwd=2)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.