showRM {QRMlib}R Documentation

Show Risk Measure Estimates on Tailplot

Description

shows estimates of risk measures (like VaR and ES) on a tailplot

Usage

showRM(object, alpha, RM="VaR", extend=2, ci.p=0.95, like.num=50.)

Arguments

object results of fit.GPD
alpha probability level
RM risk measure, VaR or ES
extend how far to extend picture; x-axis extends to this value times the largest observation
ci.p confidence level for confidence interval
like.num number of evaluations of profile likelihood

Details

see pages 282-284 in QRM

Value

point estimate and confidence interval for risk measure

Side Effects

plotTail is called

See Also

plotTail, fit.GPD, RiskMeasures

Examples

## Not run: 
data(danish);
#Fit the GPD using MLE a
mod <- fit.GPD(danish,threshold=10); 
showRM(mod,0.99,RM="VaR");
showRM(mod,0.99,RM="ES");
showRM(mod,0.995,RM="VaR");
showRM(mod,0.995,RM="ES");
## End(Not run)

[Package QRMlib version 1.4.4 Index]