XFGexc (R 2.13.1)

Counts VaR exceedences for basic simulation

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Germar Knoechlein, Awdesch Melzer

Applied Quantitative Finance

Fri, June 29 2012 by Dedy Dwi Prastyo

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XFGMMPL.dat, XFGPL.dat


rm(list=ls(all=TRUE))
graphics.off()
  PL = read.table("XFGPL.dat")
  MMPL = read.table("XFGMMPL.dat")
  m = nrow(PL)
  t = 1
  Exc = 0
  while (t<=m){
    q = quantile(t(PL[t,]),p=0.99, type=1) # 99% quantile
    if (q<MMPL[t,1]){                      # counts exceeding values of q in MMPL
      Exc = Exc+1
      }
    t = t+1
  }
  Exc = Exc/m
Exc