chart.VaRSensitivity  package:PerformanceAnalytics  R Documentation

_s_h_o_w _t_h_e _s_e_n_s_i_t_i_v_i_t_y _o_f _V_a_l_u_e-_a_t-_R_i_s_k _e_s_t_i_m_a_t_e_s

_D_e_s_c_r_i_p_t_i_o_n:

     Creates a chart of Value-at-Risk estimates by confidence interval
     for multiple methods.

_U_s_a_g_e:

     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, ...)

_A_r_g_u_m_e_n_t_s:

       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 'VaR' or 'ES' for more detail. 

   clean: method for data cleaning through 'Return.clean'.  Current
          options are "none" or "boudt" or  "geltner". 

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 

    ylab: set the y-axis label, same as in 'plot' 

    xlab: set the x-axis label, same as in 'plot' 

    type: set the chart type, same as in 'plot' 

     lty: set the line type, same as in 'plot' 

     lwd: set the line width, same as in 'plot' 

colorset: color palette to use, set by default to rational choices 

     pch: symbols to use, see also 'plot' 

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 'plot' 

     ...: any other passthru parameters 

_D_e_t_a_i_l_s:

     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.

_A_u_t_h_o_r(_s):

     Peter Carl

_R_e_f_e_r_e_n_c_e_s:

     Boudt, K., Peterson, B. G., Croux, C., 2008. Estimation and
     Decomposition of Downside Risk for Portfolios with Non-Normal
     Returns. Journal of Risk, forthcoming.

_S_e_e _A_l_s_o:

     'VaR' 
      'ES'

_E_x_a_m_p_l_e_s:

     data(managers)
     chart.VaRSensitivity(managers[,1,drop=FALSE], methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), colorset=bluefocus, lwd=2)