Image:VaR graph.png

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Description

illustration of the 10% Value at Risk with normally distibuted portfoliovalue
Source

craeted with GNU R, see source below
Date

27 may 2006
Author

Thomas Steiner
Permission
(Reusing this image)

Thomas Steiner put it under the GFDL

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R-source code

#value at risk graph

quant=0.10

min=-1.7
max=2.6
mean=2.1
s=seq(min,max,length=10000)
d=dnorm(s,mean=mean)
q=qnorm(quant,mean=mean)
sq=c(s[s<q],q,min)
dq=c(d[s<q],0,0)
 
png(filename = "VaR_graph.png", width=1300, height=800, pointsize=12)
par(bg="whitesmoke")
plot(s,d,type="n",xlab="Portfoliowert [in Mio. EUR]",ylab="Wahrscheinlichkeit",main="Value at Risk",xlim=range(s)*0.935)
abline(h=0,col="grey")
polygon(x=c(s,max,min),y=c(d,0,0),col="snow3")

polygon(x=sq,y=dq,col="skyblue")

text(x=(q-min)*0.93+min,y=dnorm(q,mean=mean)*0.3,label=paste(format(100*quant),"%",sep=""),col="blue",cex=1.7)
lines(x=c(q,q),y=c(0,dnorm(q,mean=mean)*1.35),col="red",lwd=3)
text(x=(q-min)*0.9+min,y=dnorm(q,mean=mean)*1.4,label=paste("VaR=",format(q, digits=2)," Mio EUR",sep=""),col="red",cex=1.6)

lines(x=c(mean,mean)*0.9,y=c(0,dnorm(mean,mean=mean)*0.95),col="darkgrey",lwd=2)
text(x=mean*0.87,y=dnorm(mean*0.9,mean=mean)*0.66,label=paste("Portfoliowert heute: ",mean*0.9," Mio EUR",sep=""),col="black",srt=90)

dev.off()

File history

Click on a date/time to view the file as it appeared at that time.

Date/TimeDimensionsUserComment
current18:37, 12 October 20071,223×686 (6 KB)Skies ({{Information| |Description = illustration of the 10% Value at Risk with normally distibuted portfoliovalue |Source = craeted with GNU R, see source below |Date = 27 may 2006 |Author = Thomas Steiner |Permission = [[:de:Benutzer:Thi)
11:29, 27 May 20061,300×800 (10 KB)Thire ({{Information| |Description = illustration of the 10% Value at Risk with normally distibuted portfoliovalue |Source = craeted with GNU R, see source below |Date = 27 may 2006 |Author = Thomas Steiner |Permission = [[:de:Benutzer:Thi)
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