dt(qt(alfa, nu), nu) # densidad de la t Student

[1] 0.005930297

> ES.t<-EL+sqrt(sigma2)*( dt(qt(alfa, nu), nu)/(1-alfa) )*(nu+qt(alfa, nu)*qt(alfa, nu))/(nu-1)

> ES.t

[,1]

[1,] 0.09654531

> ##### Usando ahora la biblioteca QRM (antigua QRMlib)

> # install.packages("QRM")

> library(QRM)

Loading required package: gsl

Loading required package: Matrix

Loading required package: mvtnorm

Loading required package: numDeriv

Loading required package: timeSeries

Loading required package: timeDate

Attaching package: ‘timeSeries’

The following object is masked from ‘package:zoo’:

time<-

Attaching package: ‘QRM’

The following object is masked from ‘package:base’:

lbeta
Warning messages:

1: package ‘QRM’ was built under R version 4.0.3

2: package ‘gsl’ was built under R version 4.0.3

3: closing unused connection 5

(https://query1.finance.yahoo.com/v7/finance/download/CVX.MC?
period1=1536883200&period2=1599868800&interval=1d&events=history&crumb=65Y3rY4JPNR)

4: closing unused connection 4 (https://query1.finance.yahoo.com/v7/finance/download/RDS-

B.MC?
period1=1536883200&period2=1599868800&interval=1d&events=history&crumb=qQtW5CD.kcd)

5: closing unused connection 3

(https://query2.finance.yahoo.com/v7/finance/download/XOM.MC?
period1=1536883200&period2=1599868800&interval=1d&events=history&crumb=7PssMGdTEjJ)

6: package ‘mvtnorm’ was built under R version 4.0.3

7: package ‘numDeriv’ was built under R version 4.0.3

8: package ‘timeSeries’ was built under R version 4.0.3

9: package ‘timeDate’ was built under R version 4.0.3

> qnorm(alfa,mean=EL,sd=sqrt(VL))

[1] 0.05616259

> ESnorm(alfa,mu=EL,sd=sqrt(VL))

[,1]

[1,] 0.06413305

> ### atención: sd es el parámetro sigma, no es la desviación típica!

> qst(alfa,3,mu=EL, sd=sqrt(sigma2))

[,1]

[1,] 0.06310663

> ESst(alfa,3,mu=EL, sd=sqrt(sigma2))

[,1]

[1,] 0.09654531

>

> p <- c(0.90,0.95,0.975,0.99,0.995,0.999,0.9999,0.99999,0.999999)

> qnorm(p,mean=EL,sd=sqrt(VL))
[1] 0.03158800 0.04013320 0.04754490 0.05616259 0.06203063 0.07412987 0.08891947
0.10175895 0.11324971

> ESnorm(p,mu=EL,sd=sqrt(VL))

[1] 0.04272356 0.04996165 0.05643202 0.06413305 0.06946605 0.08064183 0.09455187

0.10678872 0.11783414

Warning messages:

1: In sd * dnorm(qnorm(p)) :

Recycling array of length 1 in array-vector arithmetic is deprecated.

Use c() or as.vector() instead.

2: In mu + sd * dnorm(qnorm(p))/(1 - p) :

Recycling array of length 1 in array-vector arithmetic is deprecated.

Use c() or as.vector() instead.

> qst(p,3,mu=EL, sd=sqrt(sigma2))

[1] 0.02368497 0.03340295 0.04466175 0.06310663 0.08076321 0.14015622 0.30296757

0.65229473 1.40423310

Warning messages:

1: In sd * quant :

Recycling array of length 1 in array-vector arithmetic is deprecated.

Use c() or as.vector() instead.

2: In mu + sd * quant :

Recycling array of length 1 in array-vector arithmetic is deprecated.

Use c() or as.vector() instead.

> ESst(p,3,mu=EL, sd=sqrt(sigma2))

[1] 0.04097308 0.05405656 0.06988134 0.09654531 0.12247450 0.21070074 0.45427868

0.97797467 2.10574561

Warning messages:
1: In sd * ES :

Recycling array of length 1 in array-vector arithmetic is deprecated.

Use c() or as.vector() instead.

2: In mu + sd * ES :

Recycling array of length 1 in array-vector arithmetic is deprecated.

Use c() or as.vector() instead.

>

>

> ### Simulación Histórica #######

> SH.L<-(-V)*(val.ln%*%w)

> SH.L

[,1]

[1,] -7.694263e-03

[2,] 1.524116e-02

[3,] -9.534361e-03

[4,] 2.494717e-03

[5,] -1.313046e-02

[6,] -4.354757e-03

[7,] 4.200847e-03

[8,] -4.295690e-03

[9,] -5.191726e-03

[10,] -7.168521e-03

[11,] -9.300797e-03

[12,] -3.462729e-03

[13,] -6.489175e-03

[14,] -1.465032e-02

[15,] -4.922752e-03
[16,] 8.984096e-03

[17,] -1.334039e-03

[18,] 7.332998e-03

[19,] -9.883794e-03

[20,] -3.903410e-03

[21,] 4.228091e-04

[22,] 6.184933e-03

[23,] 4.737639e-03

[24,] -4.094516e-03

[25,] -6.681833e-03

[26,] 2.399810e-02

[27,] 3.196684e-02

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[29,] 4.005861e-03

[30,] -5.721972e-03

[31,] 4.255114e-04

[32,] -2.272542e-04

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[34,] 9.291702e-03

[35,] 2.049374e-02

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[44,] -4.961396e-03
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[46,] -1.198604e-02

[47,] 1.736060e-02

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[71,] 1.817743e-02

[72,] 1.748262e-02

[73,] 2.387038e-02
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[100,] -2.190395e-03

[101,] -1.117667e-02

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[302,] 3.978148e-03

[303,] -7.999349e-03

[304,] 8.994410e-03

[305,] 1.155821e-02
[306,] -1.421476e-03

[307,] -1.886606e-02

[308,] 3.696555e-03

[309,] 3.796143e-03

[310,] 6.014675e-03

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[474,] 5.223268e-04

[475,] 6.157825e-03

[476,] -1.195649e-02

[477,] 1.253444e-02

[478,] -1.073987e-02

[479,] 5.053009e-02
[480,] 6.089695e-03

[481,] -7.154742e-03

[482,] -3.032082e-02

[483,] -7.139359e-03

[484,] 4.135044e-03

[485,] 6.849656e-03

[486,] -2.340558e-02

[487,] -1.019751e-02

[488,] -9.438184e-03

[489,] 2.628572e-02

[490,] 7.351728e-05

[491,] 1.012728e-02

[492,] 8.089880e-03

[493,] 1.058320e-02

[494,] 1.428981e-02

[495,] 9.064719e-03

[496,] -2.927424e-02

[497,] 2.619355e-02

[498,] 1.551716e-02

[499,] 6.800131e-03

[500,] -2.007443e-02

[501,] 1.882941e-02

[502,] 1.356204e-02

[503,] 5.340795e-03

[504,] 2.521638e-03

[505,] 1.038233e-03

[506,] 2.797913e-02

[507,] -2.446043e-03

[508,] 2.555302e-02
[509,] 7.233636e-05

[510,] 7.161824e-03

[511,] 7.533362e-03

[512,] -3.382381e-02

[513,] 3.759186e-03

[514,] 1.816053e-02

[515,] 2.275556e-02

[516,] 1.375833e-02

[517,] 2.936365e-02

[518,] -1.902878e-03

[519,] -2.398184e-04

[520,] -1.945395e-02

[521,] 2.664649e-02

> summary(SH.L)

V1

Min. :-0.1453649

1st Qu.:-0.0079994

Median : 0.0005883

Mean : 0.0014447

3rd Qu.: 0.0092427

Max. : 0.1499231

> var(SH.L)

[,1]

[1,] 0.0005542966

> mod.gauss <- fit.norm(SH.L)

> mod.gauss

$mu

[1] 0.001444697
$Sigma

[,1]

[1,] 0.0005532327

$cor

[1] NA

$ll.max

[1] 1214.413

> attributes(mod.gauss)

$names

[1] "mu" "Sigma" "cor" "ll.max"

> mod.t <- fit.st(SH.L)

> mod.t

$converged

[1] TRUE

$par.ests

nu mu sigma

2.0995740263 0.0005384375 0.0110060525

$par.ses

nu mu sigma

0.2474673475 0.0006168216 0.0006876949

$asymp.cov

nu mu sigma
nu 6.124009e-02 6.748680e-06 1.070016e-04

mu 6.748680e-06 3.804689e-07 1.895041e-08

sigma 1.070016e-04 1.895041e-08 4.729242e-07

$ll.max

[1] 1341.891

> attributes(mod.t)

$names

[1] "converged" "par.ests" "par.ses" "asymp.cov" "ll.max"

> mod.t$par.ests

nu mu sigma

2.0995740263 0.0005384375 0.0110060525

> AIC_n<-2*2-2*mod.gauss$ll.max

> AIC_t<-2*3-2*mod.t$ll.max

> qnorm(alfa,mean=mod.gauss$mu,sd=sqrt(mod.gauss$Sigma))

[1] 0.05616249

> ESnorm(alfa,mu=mod.gauss$mu,sd=sqrt(mod.gauss$Sigma))

[,1]

[1,] 0.06413293

> qst(alfa,4,mu=mod.t$par.ests[2], sd=mod.t$par.ests[3])

mu

0.04177754

> ESst(alfa,4,mu=mod.t$par.ests[2], sd=mod.t$par.ests[3])

mu

0.05799646

> qst(alfa,mod.t$par.ests[1],mu=mod.t$par.ests[2], sd=mod.t$par.ests[3])

mu
0.07243562

> ESst(alfa,mod.t$par.ests[1],mu=mod.t$par.ests[2], sd=mod.t$par.ests[3])

mu

0.13945

>

> VaR99 <- quantile(SH.L,alfa)

> VaR99

99%

0.06921327

> VaR99 <- quantile(SH.L,alfa,type=1)

> VaR99

99%

0.06935792

> SH.L_or<-SH.L[order(-SH.L)]

> nn<-as.integer(n*(1-alfa))

> nn

[1] 5

> VaR99<-SH.L_or[nn]

> VaR99

[1] 0.09158876

> ES99 <- mean(SH.L[SH.L > VaR99])

>

> ### Método de Monte Carlo #######

> rep <- 1000000

> MC.data <- rmvnorm(rep, E.ln, Covn.ln)

>

> MC.data <-as.matrix(MC.data)

> MC.Lsim <- (MC.data%*%w)

> MC.Lsim <- -V*MC.Lsim

> quantile(MC.Lsim, alfa)

99%

0.05617496

> mean(MC.Lsim[MC.Lsim > quantile(MC.Lsim, alfa)])

[1] 0.06414047

>

> # si se desea simular independencia

> MC.data <- rmvnorm(rep, E.ln, diag(diag(Covn.ln)))

> MC.data <- as.matrix(MC.data)

> MC.Lsim <-- -V*(MC.data%*%w)

>

> quantile(MC.Lsim, alfa)

99%

0.03823791

> mean(MC.Lsim[MC.Lsim > quantile(MC.Lsim, alfa)])

[1] 0.04403355

> library(backports)

Warning message:

package ‘backports’ was built under R version 4.0.3

> library(BH)

Warning message:

package ‘BH’ was built under R version 4.0.3

> library(base64enc)

Warning message:

package ‘base64enc’ was built under R version 4.0.3

> library(checkmate)

Warning message:

package ‘checkmate’ was built under R version 4.0.3

> library(crayon)
Warning message:

package ‘crayon’ was built under R version 4.0.3

> library(commonmark)

Warning message:

package ‘commonmark’ was built under R version 4.0.3

> library(curl)

Warning message:

package ‘curl’ was built under R version 4.0.3

> library(digest)

Warning message:

package ‘digest’ was built under R version 4.0.3

> library(ellipsis)

Warning message:

package ‘ellipsis’ was built under R version 4.0.3

> library(evaluate)

Warning message:

package ‘evaluate’ was built under R version 4.0.3

> library(fastmap)

Warning message:

package ‘fastmap’ was built under R version 4.0.3

> library(glue)

Warning message:

package ‘glue’ was built under R version 4.0.3

> library(highr)

Warning message:

package ‘highr’ was built under R version 4.0.3

> library(htmltools)

Warning message:

package ‘htmltools’ was built under R version 4.0.3

> library(htmlwidgets)

Warning message:

package ‘htmlwidgets’ was built under R version 4.0.3

> library(httpuv)

Warning message:

package ‘httpuv’ was built under R version 4.0.3

> library(knitr)

Warning message:

package ‘knitr’ was built under R version 4.0.3

> library(jsonlite)

Warning message:

package ‘jsonlite’ was built under R version 4.0.3

> library(later)

Warning message:

package ‘later’ was built under R version 4.0.3

> library(magrittr)

Warning message:

package ‘magrittr’ was built under R version 4.0.3

> library(learnr)

Warning message:

package ‘learnr’ was built under R version 4.0.3

> library(translations, lib.loc = "C:/Program Files/R/R-4.0.2/library")

Error in library(translations, lib.loc = "C:/Program Files/R/R-4.0.2/library") :

package ‘translations’ does not have a namespace and should be re-installed

> library(tools, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(tcltk, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(survival, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(stats4, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(splines, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(spatial, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(rpart, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(parallel, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(nnet, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(nlme, lib.loc = "C:/Program Files/R/R-4.0.2/library")

Attaching package: ‘nlme’

The following object is masked from ‘package:glue’:

collapse

> library(mgcv, lib.loc = "C:/Program Files/R/R-4.0.2/library")

This is mgcv 1.8-31. For overview type 'help("mgcv-package")'.

Attaching package: ‘mgcv’

The following object is masked from ‘package:nnet’:

multinom

> library(MASS, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(lattice, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(grid, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(KernSmooth, lib.loc = "C:/Program Files/R/R-4.0.2/library")

KernSmooth 2.23 loaded

Copyright M. P. Wand 1997-2009

> library(foreign, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(compiler, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(codetools, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(cluster, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(class, lib.loc = "C:/Program Files/R/R-4.0.2/library")

> library(boot, lib.loc = "C:/Program Files/R/R-4.0.2/library")

Attaching package: ‘boot’

The following object is masked from ‘package:lattice’:

melanoma

The following object is masked from ‘package:survival’:

aml

> library(yaml)

Warning message:

package ‘yaml’ was built under R version 4.0.3

> library(xtable)

Attaching package: ‘xtable’

The following object is masked from ‘package:timeSeries’:

align

The following object is masked from ‘package:timeDate’:

align
Warning message:

package ‘xtable’ was built under R version 4.0.3

> library(xfun)

Attaching package: ‘xfun’

The following objects are masked from ‘package:tools’:

file_ext, Rcmd

The following objects are masked from ‘package:base’:

attr, isFALSE

Warning message:

package ‘xfun’ was built under R version 4.0.3

> library(withr)

Attaching package: ‘withr’

The following object is masked from ‘package:tools’:

makevars_user

Warning message:

package ‘withr’ was built under R version 4.0.3

> library(tinytex)

Warning message:
package ‘tinytex’ was built under R version 4.0.3

> library(stringr)

Warning message:

package ‘stringr’ was built under R version 4.0.3

> library(stringi)

Warning message:

package ‘stringi’ was built under R version 4.0.3

> library(sourcetools)

Warning message:

package ‘sourcetools’ was built under R version 4.0.3

> library(shiny)

Attaching package: ‘shiny’

The following object is masked from ‘package:jsonlite’:

validate

Warning message:

package ‘shiny’ was built under R version 4.0.3

> library(rprojroot)

Warning message:

package ‘rprojroot’ was built under R version 4.0.3

> library(rmarkdown)

Warning message:

package ‘rmarkdown’ was built under R version 4.0.3

> library(rlang)

Attaching package: ‘rlang’

The following objects are masked from ‘package:withr’:

local_options, with_options

The following object is masked from ‘package:magrittr’:

set_names

The following objects are masked from ‘package:jsonlite’:

flatten, unbox

The following object is masked from ‘package:httpuv’:

interrupt

The following object is masked from ‘package:crayon’:

chr

Warning message:

package ‘rlang’ was built under R version 4.0.3

> library(renv)

Attaching package: ‘renv’

The following object is masked from ‘package:rlang’:

 modify

The following object is masked from ‘package:rmarkdown’:

run

The following object is masked from ‘package:shiny’:

isolate

The following object is masked from ‘package:stats4’:

update

The following object is masked from ‘package:Matrix’:

update

The following object is masked from ‘package:stats’:

update

The following objects are masked from ‘package:utils’:

history, upgrade

The following objects are masked from ‘package:base’:

load, remove
Warning message:

package ‘renv’ was built under R version 4.0.3

> library(Rcpp)

Warning message:

package ‘Rcpp’ was built under R version 4.0.3

> library(rappdirs)

Warning message:

package ‘rappdirs’ was built under R version 4.0.3

> library(R6)

Warning message:

package ‘R6’ was built under R version 4.0.3

> library(mime)

Warning message:

package ‘mime’ was built under R version 4.0.3

> library(markdown)

Warning message:

package ‘markdown’ was built under R version 4.0.3

> library(promises)

Warning message:

package ‘promises’ was built under R version 4.0.3