Bild:VaR graph.png

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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()