\HeaderA{chart.VaRSensitivity}{show the sensitivity of Value-at-Risk estimates}{chart.VaRSensitivity}
\keyword{ts}{chart.VaRSensitivity}
\keyword{multivariate}{chart.VaRSensitivity}
\keyword{distribution}{chart.VaRSensitivity}
\begin{Description}\relax
Creates a chart of Value-at-Risk estimates by confidence interval for multiple methods.
\end{Description}
\begin{Usage}
\begin{verbatim}
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, ...)
\end{verbatim}
\end{Usage}
\begin{Arguments}
\begin{ldescription}
\item[\code{R}] an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns 
\item[\code{methods}] one or more calculation methods indicated "GaussianVaR", "ModifiedVaR", "HistoricalVaR", "GaussianES", "ModifiedES", "HistoricalES".  See \code{\LinkA{VaR}{VaR}} or \code{\LinkA{ES}{ES}} for more detail. 
\item[\code{clean}] method for data cleaning through \code{\LinkA{Return.clean}{Return.clean}}.  Current options are "none" or "boudt" or 
"geltner". 
\item[\code{elementcolor}] the color used to draw chart elements. The default is "darkgray" 
\item[\code{reference.grid}] if true, draws a grid aligned with the points on the x and y axes 
\item[\code{ylab}] set the y-axis label, same as in \code{\LinkA{plot}{plot}} 
\item[\code{xlab}] set the x-axis label, same as in \code{\LinkA{plot}{plot}} 
\item[\code{type}] set the chart type, same as in \code{\LinkA{plot}{plot}} 
\item[\code{lty}] set the line type, same as in \code{\LinkA{plot}{plot}} 
\item[\code{lwd}] set the line width, same as in \code{\LinkA{plot}{plot}} 
\item[\code{colorset}] color palette to use, set by default to rational choices 
\item[\code{pch}] symbols to use, see also \code{\LinkA{plot}{plot}} 
\item[\code{legend.loc}] places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. 
\item[\code{cex.legend}] The magnification to be used for sizing the legend relative to the current setting of 'cex'.  
\item[\code{main}] set the chart title, same as in \code{\LinkA{plot}{plot}} 
\item[\code{...}] any other passthru parameters 
\end{ldescription}
\end{Arguments}
\begin{Details}\relax
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.
\end{Details}
\begin{Author}\relax
Peter Carl
\end{Author}
\begin{References}\relax
Boudt, K., Peterson, B. G., Croux, C., 2008. Estimation
and Decomposition of Downside Risk for Portfolios with Non-Normal Returns. Journal of
Risk, forthcoming.
\end{References}
\begin{SeeAlso}\relax
\code{\LinkA{VaR}{VaR}} \\ \code{\LinkA{ES}{ES}}
\end{SeeAlso}
\begin{Examples}
\begin{ExampleCode}
data(managers)
chart.VaRSensitivity(managers[,1,drop=FALSE], methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), colorset=bluefocus, lwd=2)
\end{ExampleCode}
\end{Examples}

