From my Android phone on T-Mobile. The first nationwide 4G network. -------- Messaggio originale -------- Da: ESMERALDA PODA <podaesmeralda at gmail.com> Data:12/22/2014 02:44 PM (GMT+01:00) A: r-help at r-project.org Oggetto: VaR and ES in R Hi everybody, This is the homework I am trying to solve. Ex. Assume that you have a position of 144530 shares of?Bill inc.. The object?Y2?contains an iid sample of the returns for these shares. Assume that data follow a Student distribution. Compute the maximum likelihood estimate for the model. Compute the estimation of V?aR??and of?ES??for???= 0.99 based on the obtained estimates, using a parametric formula or with the pure Monte Carlo method Obtain a bootstrap confidence interval for?V aR??and of?ES??for???= 0.99 at a confidence level 0.90, using?B?= 1000 replications.? I solved point 1. (you can see the screenshot attached). However in point 2,?where I have to compute VaR and ES, based on the estimates obtained in point 1. I typed this:? #POINT 2 q<-114530 n.val <- 10000 x <- rt(n=n.val, obj=mle.t) loss.mc?<- -Q*x but, I obtain error. I am working with a student distribution. I need?particularly the obj=mle.t since I need to?work on the estimate I have obtained. Can somebody, who is familiar with VaR and ES give me some hint through this? I would really appreciate this. Best Attachments area Preview attachment Schermata 2014-12-22 alle 12.04.16.png Schermata 2014-12-22 alle 12.04.16.png [[alternative HTML version deleted]]