showRM {QRMlib} | R Documentation |
shows estimates of risk measures (like VaR and ES) on a tailplot
showRM(object, alpha, RM="VaR", extend=2, ci.p=0.95, like.num=50.)
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 |
see pages 282-284 in QRM
point estimate and confidence interval for risk measure
plotTail is called
plotTail
,
fit.GPD
,
RiskMeasures
## 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)