chart.VaRSensitivity {PerformanceAnalytics}R Documentation

show the sensitivity of Value-at-Risk estimates


Creates a chart of Value-at-Risk 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, ...)


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


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.

See Also



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

[Package PerformanceAnalytics version 0.9.9-5 Index]