chart.VaRSensitivity {PerformanceAnalytics} | R Documentation

## show the sensitivity of Value-at-Risk or Expected Shortfall estimates

### Description

Creates a chart of Value-at-Risk and/or Expected Shortfall estimates by confidence interval for multiple methods.

### Usage

    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, ylim = NULL, ...)

### Arguments

`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
`xlab` | set the x-axis label, same as in `plot`
`ylab` | set the y-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`
`ylim` | set the y-axis dimensions, same as in `plot`
`...` | any other passthru parameters

### Details

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.

### Author(s)

Peter Carl

### References

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

`VaR`
`ES`

### Examples

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

[Package PerformanceAnalytics version 1.5.3 Index]