Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Version 0.12

'Kevin Dowd's' book Measuring Market Risk is a widely read book in the area of risk measurement by students and practitioners alike. As he claims, 'MATLAB' indeed might have been the most suitable language when he originally wrote the functions, but, with growing popularity of R it is not entirely valid. As 'Dowd's' code was not intended to be error free and were mainly for reference, some functions in this package have inherited those errors. An attempt will be made in future releases to identify and correct them. 'Dowd's' original code can be downloaded from www.kevindowd.org/measuring-market-risk/. It should be noted that 'Dowd' offers both 'MMR2' and 'MMR1' toolboxes. Only 'MMR2' was ported to R. 'MMR2' is more recent version of 'MMR1' toolbox and they both have mostly similar function. The toolbox mainly contains different parametric and non parametric methods for measurement of market risk as well as backtesting risk measurement methods.

Browse man pages Browse package API and functions Browse package files

AuthorDinesh Acharya <dines.acharya@gmail.com>
Date of publication2016-03-11 00:45:03
MaintainerDinesh Acharya <dines.acharya@gmail.com>
LicenseGPL
Version0.12
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("Dowd")

Man pages

AdjustedNormalESHotspots: Hotspots for ES adjusted by Cornish-Fisher correction
AdjustedNormalVaRHotspots: Hotspots for VaR adjusted by Cornish-Fisher correction
AdjustedVarianceCovarianceES: Cornish-Fisher adjusted Variance-Covariance ES
AdjustedVarianceCovarianceVaR: Cornish-Fisher adjusted variance-covariance VaR
ADTestStat: Plots cumulative density for AD test and computes confidence...
AmericanPutESBinomial: Estimates ES of American vanilla put using binomial tree.
AmericanPutESSim: Estimates ES of American vanilla put using binomial option...
AmericanPutPriceBinomial: Binomial Put Price
AmericanPutVaRBinomial: Estimates VaR of American vanilla put using binomial tree.
BinomialBacktest: Carries out the binomial backtest for a VaR risk measurement...
BlackScholesCallESSim: ES of Black-Scholes call using Monte Carlo Simulation
BlackScholesCallPrice: Price of European Call Option
BlackScholesPutESSim: ES of Black-Scholes put using Monte Carlo Simulation
BlackScholesPutPrice: Price of European Put Option
BlancoIhleBacktest: Blanco-Ihle forecast evaluation backtest measure
BootstrapES: Bootstrapped ES for specified confidence level
BootstrapESConfInterval: Bootstrapped ES Confidence Interval
BootstrapESFigure: Plots figure of bootstrapped ES
BootstrapVaR: Bootstrapped VaR for specified confidence level
BootstrapVaRConfInterval: Bootstrapped VaR Confidence Interval
BootstrapVaRFigure: Plots figure of bootstrapped VaR
BoxCoxES: Estimates ES with Box-Cox transformation
BoxCoxVaR: Estimates VaR with Box-Cox transformation
CdfOfSumUsingGaussianCopula: Derives prob ( X + Y < quantile) using Gaussian copula
CdfOfSumUsingGumbelCopula: Derives prob ( X + Y < quantile) using Gumbel copula
CdfOfSumUsingProductCopula: Derives prob ( X + Y < quantile) using Product copula
ChristoffersenBacktestForIndependence: Christoffersen Backtest for Independence
ChristoffersenBacktestForUnconditionalCoverage: Christoffersen Backtest for Unconditional Coverage
CornishFisherES: Corn-Fisher ES
CornishFisherVaR: Corn-Fisher VaR
DBPensionVaR: Monte Carlo VaR for DB pension
DCPensionVaR: Monte Carlo VaR for DC pension
DefaultRiskyBondVaR: VaR for default risky bond portfolio
Dowd-package: R-version of Kevin Dowd's MATLAB Toolbox from book "Measuring...
FilterStrategyLogNormalVaR: Log Normal VaR with filter strategy
FrechetES: Frechet Expected Shortfall
FrechetESPlot2DCl: Plots Frechet Expected Shortfall against confidence level
FrechetVaR: Frechet Value at Risk
FrechetVaRPlot2DCl: Plots Frechet Value at Risk against Cl
GaussianCopulaVaR: Bivariate Gaussian Copule VaR
GParetoES: Expected Shortfall for Generalized Pareto
GParetoMEFPlot: Plot of Emperical and Generalised Pareto mean excess...
GParetoMultipleMEFPlot: Plot of Emperical and 2 Generalised Pareto mean excess...
GParetoVaR: VaR for Generalized Pareto
GumbelCopulaVaR: Bivariate Gumbel Copule VaR
GumbelES: Gumbel ES
GumbelESPlot2DCl: Gumbel VaR
GumbelVaR: Gumbel VaR
GumbelVaRPlot2DCl: Gumbel VaR
HillEstimator: Hill Estimator
HillPlot: Hill Plot
HillQuantileEstimator: Hill Quantile Estimator
HSES: Expected Shortfall of a portfolio using Historical Estimator
HSESDFPerc: Percentile of historical simulation ES distribution function
HSESFigure: Figure of Historical SImulation VaR and ES and histogram of...
HSESPlot2DCl: Plots historical simulation ES against confidence level
HSVaR: Value at Risk of a portfolio using Historical Estimator
HSVaRDFPerc: Percentile of historical simulation VaR distribution function
HSVaRESPlot2DCl: Plots historical simulation VaR and ES against confidence...
HSVaRFigure: Figure of Historical SImulation VaR and histogram of L/P
HSVaRPlot2DCl: Plots historical simulation VaR against confidence level
InsuranceVaR: VaR of Insurance Portfolio
InsuranceVaRES: VaR and ES of Insurance Portfolio
JarqueBeraBacktest: Jarque-Bera backtest for normality.
KernelESBoxKernel: Calculates ES using box kernel approach
KernelESEpanechinikovKernel: Calculates ES using Epanechinikov kernel approach
KernelESNormalKernel: Calculates ES using normal kernel approach
KernelESTriangleKernel: Calculates ES using triangle kernel approach
KernelVaRBoxKernel: Calculates VaR using box kernel approach
KernelVaREpanechinikovKernel: Calculates VaR using epanechinikov kernel approach
KernelVaRNormalKernel: Calculates VaR using normal kernel approach
KernelVaRTriangleKernel: Calculates VaR using triangle kernel approach
KSTestStat: Plots cumulative density for KS test and computes confidence...
KuiperTestStat: Plots cummulative density for Kuiper test and computes...
LogNormalES: ES for normally distributed geometric returns
LogNormalESDFPerc: Percentiles of ES distribution function for normally...
LogNormalESFigure: Figure of lognormal VaR and ES and pdf against L/P
LogNormalESPlot2DCL: Plots log normal ES against confidence level
LogNormalESPlot2DHP: Plots log normal ES against holding period
LogNormalESPlot3D: Plots log normal ES against confidence level and holding...
LogNormalVaR: VaR for normally distributed geometric returns
LogNormalVaRDFPerc: Percentiles of VaR distribution function for normally...
LogNormalVaRETLPlot2DCL: Plots log normal VaR and ETL against confidence level
LogNormalVaRFigure: Figure of lognormal VaR and pdf against L/P
LogNormalVaRPlot2DCL: Plots log normal VaR against confidence level
LogNormalVaRPlot2DHP: Plots log normal VaR against holding period
LogNormalVaRPlot3D: Plots log normal VaR against confidence level and holding...
LogtES: ES for t distributed geometric returns
LogtESDFPerc: Percentiles of ES distribution function for Student-t
LogtESPlot2DCL: Plots log-t ES against confidence level
LogtESPlot2DHP: Plots log-t ES against holding period
LogtESPlot3D: Plots log-t ES against confidence level and holding period
LogtVaR: VaR for t distributed geometric returns
LogtVaRDFPerc: Percentiles of VaR distribution function for Student-t
LogtVaRPlot2DCL: Plots log-t VaR against confidence level
LogtVaRPlot2DHP: Plots log-t VaR against holding period
LogtVaRPlot3D: Plots log-t VaR against confidence level and holding period
LongBlackScholesCallVaR: Derives VaR of a long Black Scholes call option
LongBlackScholesPutVaR: Derives VaR of a long Black Scholes put option
LopezBacktest: First (binomial) Lopez forecast evaluation backtest score...
MEFPlot: Mean Excess Function Plot
NormalES: ES for normally distributed P/L
NormalESConfidenceInterval: Generates Monte Carlo 95% Confidence Intervals for normal ES
NormalESDFPerc: Percentiles of ES distribution function for normally...
NormalESFigure: Figure of normal VaR and ES and pdf against L/P
NormalESHotspots: Hotspots for normal ES
NormalESPlot2DCL: Plots normal ES against confidence level
NormalESPlot2DHP: Plots normal ES against holding period
NormalESPlot3D: Plots normal ES against confidence level and holding period
NormalQQPlot: Normal Quantile Quantile Plot
NormalQuantileStandardError: Standard error of normal quantile estimate
NormalSpectralRiskMeasure: Estimates the spectral risk measure of a portfolio
NormalVaR: VaR for normally distributed P/L
NormalVaRConfidenceInterval: Generates Monte Carlo 95% Confidence Intervals for normal VaR
NormalVaRDFPerc: Percentiles of VaR distribution function for normally...
NormalVaRFigure: Figure of normal VaR and pdf against L/P
NormalVaRHotspots: Hotspots for normal VaR
NormalVaRPlot2DCL: Plots normal VaR against confidence level
NormalVaRPlot2DHP: Plots normal VaR against holding period
NormalVaRPlot3D: Plots normal VaR in 3D against confidence level and holding...
PCAES: Estimates ES by principal components analysis
PCAESPlot: ES plot
PCAPrelim: Estimates VaR plot using principal components analysis
PCAVaR: Estimates VaR by principal components analysis
PCAVaRPlot: VaR plot
PickandsEstimator: Pickands Estimator
PickandsPlot: Pickand Estimator - Tail Sample Size Plot
ProductCopulaVaR: Bivariate Product Copule VaR
ShortBlackScholesCallVaR: Derives VaR of a short Black Scholes call option
ShortBlackScholesPutVaR: Derives VaR of a short Black Scholes put option
StopLossLogNormalVaR: Log Normal VaR with stop loss limit
tES: ES for t distributed P/L
tESDFPerc: Percentiles of ES distribution function for t-distributed P/L
tESFigure: Figure of t - VaR and ES and pdf against L/P
tESPlot2DCL: Plots t- ES against confidence level
tESPlot2DHP: Plots t ES against holding period
tESPlot3D: Plots t ES against confidence level and holding period
TQQPlot: Student's T Quantile - Quantile Plot
tQuantileStandardError: Standard error of t quantile estimate
tVaR: VaR for t distributed P/L
tVaRDFPerc: Percentiles of VaR distribution function
tVaRESPlot2DCL: Plots t VaR and ES against confidence level
tVaRFigure: Figure of t- VaR and pdf against L/P
tVaRPlot2DCL: Plots t VaR against confidence level
tVaRPlot2DHP: Plots t VaR against holding period
tVaRPlot3D: Plots t VaR against confidence level and holding period
VarianceCovarianceES: Variance-covariance ES for normally distributed returns
VarianceCovarianceVaR: Variance-covariance VaR for normally distributed returns

Functions

ADTestStat Man page Source code
AdjustedNormalESHotspots Man page Source code
AdjustedNormalVaRHotspots Man page Source code
AdjustedVarianceCovarianceES Man page Source code
AdjustedVarianceCovarianceVaR Man page Source code
AmericanPutESBinomial Man page Source code
AmericanPutESSim Man page Source code
AmericanPutPriceBinomial Man page Source code
AmericanPutVaRBinomial Man page Source code
BinomialBacktest Man page Source code
BlackScholesCallESSim Man page Source code
BlackScholesCallPrice Man page Source code
BlackScholesPutESSim Man page Source code
BlackScholesPutPrice Man page Source code
BlancoIhleBacktest Man page Source code
BootstrapES Man page Source code
BootstrapESConfInterval Man page Source code
BootstrapESFigure Man page Source code
BootstrapVaR Man page Source code
BootstrapVaRConfInterval Man page Source code
BootstrapVaRFigure Man page Source code
BoxCoxES Man page Source code
BoxCoxVaR Man page Source code
CdfOfSumUsingGaussianCopula Man page Source code
CdfOfSumUsingGumbelCopula Man page Source code
CdfOfSumUsingProductCopula Man page Source code
ChristoffersenBacktestForIndependence Man page Source code
ChristoffersenBacktestForUnconditionalCoverage Man page Source code
CornishFisherES Man page Source code
CornishFisherVaR Man page Source code
DBPensionVaR Man page Source code
DCPensionVaR Man page Source code
DefaultRiskyBondVaR Man page Source code
Dowd-package Man page
FilterStrategyLogNormalVaR Man page Source code
FrechetES Man page Source code
FrechetESPlot2DCl Man page Source code
FrechetVaR Man page Source code
FrechetVaRPlot2DCl Man page Source code
GParetoES Man page Source code
GParetoMEFPlot Man page Source code
GParetoMultipleMEFPlot Man page Source code
GParetoVaR Man page Source code
GaussianCopula Source code
GaussianCopulaVaR Man page Source code
GumbelCopula Source code
GumbelCopulaVaR Man page Source code
GumbelES Man page Source code
GumbelESPlot2DCl Man page Source code
GumbelVaR Man page Source code
GumbelVaRPlot2DCl Man page Source code
HSES Man page Source code
HSESDFPerc Man page Source code
HSESFigure Man page Source code
HSESPlot2DCl Man page Source code
HSVaR Man page Source code
HSVaRDFPerc Man page Source code
HSVaRESPlot2DCl Man page Source code
HSVaRFigure Man page Source code
HSVaRPlot2DCl Man page Source code
HillEstimator Man page Source code
HillPlot Man page Source code
HillQuantileEstimator Man page Source code
InsuranceVaR Man page Source code
InsuranceVaRES Man page Source code
JarqueBeraBacktest Man page Source code
KSTestStat Man page Source code
KernelESBoxKernel Man page Source code
KernelESEpanechinikovKernel Man page Source code
KernelESNormalKernel Man page Source code
KernelESTriangleKernel Man page Source code
KernelVaRBoxKernel Man page Source code
KernelVaREpanechinikovKernel Man page Source code
KernelVaRNormalKernel Man page Source code
KernelVaRTriangleKernel Man page Source code
KuiperTestStat Man page Source code
LogNormalES Man page Source code
LogNormalESDFPerc Man page Source code
LogNormalESFigure Man page Source code
LogNormalESPlot2DCL Man page Source code
LogNormalESPlot2DHP Man page Source code
LogNormalESPlot3D Man page Source code
LogNormalVaR Man page Source code
LogNormalVaRDFPerc Man page Source code
LogNormalVaRETLPlot2DCL Man page Source code
LogNormalVaRFigure Man page Source code
LogNormalVaRPlot2DCL Man page Source code
LogNormalVaRPlot2DHP Man page Source code
LogNormalVaRPlot3D Man page Source code
LogtES Man page Source code
LogtESDFPerc Man page Source code
LogtESPlot2DCL Man page Source code
LogtESPlot2DHP Man page Source code
LogtESPlot3D Man page Source code
LogtVaR Man page Source code
LogtVaRDFPerc Man page Source code
LogtVaRPlot2DCL Man page Source code
LogtVaRPlot2DHP Man page Source code
LogtVaRPlot3D Man page Source code
LongBlackScholesCallVaR Man page Source code
LongBlackScholesPutVaR Man page Source code
LopezBacktest Man page Source code
MEFPlot Man page Source code
NormalES Man page Source code
NormalESConfidenceInterval Man page Source code
NormalESDFPerc Man page Source code
NormalESFigure Man page Source code
NormalESHotspots Man page Source code
NormalESPlot2DCL Man page Source code
NormalESPlot2DHP Man page Source code
NormalESPlot3D Man page Source code
NormalQQPlot Man page Source code
NormalQuantileStandardError Man page Source code
NormalSpectralRiskMeasure Man page Source code
NormalVaR Man page Source code
NormalVaRConfidenceInterval Man page Source code
NormalVaRDFPerc Man page Source code
NormalVaRFigure Man page Source code
NormalVaRHotspots Man page Source code
NormalVaRPlot2DCL Man page Source code
NormalVaRPlot2DHP Man page Source code
NormalVaRPlot3D Man page Source code
PCAES Man page Source code
PCAESPlot Man page Source code
PCAPrelim Man page Source code
PCAVaR Man page Source code
PCAVaRPlot Man page Source code
PickandsEstimator Man page Source code
PickandsPlot Man page Source code
PlotPos Source code Source code
ProductCopula Source code
ProductCopulaVaR Man page Source code
RepMat Source code Source code
ShortBlackScholesCallVaR Man page Source code
ShortBlackScholesPutVaR Man page Source code
StopLossLogNormalVaR Man page Source code
TQQPlot Man page Source code
Univariate.tES Source code
VarianceCovarianceES Man page Source code
VarianceCovarianceVaR Man page Source code
crude.estimate.of.spectral.risk.measure Source code
payper Source code
pvfix Source code
simpsons.quadrature.estimate Source code
tES Man page Source code
tESDFPerc Man page Source code
tESFigure Man page Source code
tESPlot2DCL Man page Source code
tESPlot2DHP Man page Source code
tESPlot3D Man page Source code
tQuantileStandardError Man page Source code
tVaR Man page Source code
tVaRDFPerc Man page Source code
tVaRESPlot2DCL Man page Source code
tVaRFigure Man page Source code
tVaRPlot2DCL Man page Source code
tVaRPlot2DHP Man page Source code
tVaRPlot3D Man page Source code
trapezoidal.quadrature.estimate Source code

Files

TODO
tests
tests/testthat.R
tests/testthat
tests/testthat/testCdfOfSumUsingGumbelCopula.R
tests/testthat/testJarqueBeraBacktest.R
tests/testthat/testADTestStat.R
tests/testthat/testAdjustedNormalVaRHotspots.R
tests/testthat/testAdjustedVarianceCovarianceVaR.R
tests/testthat/testFrechetES.R
tests/testthat/testAdjustedVarianceCovarianceES.R
tests/testthat/testLopezBacktest.R
tests/testthat/testBlancoIhleBacktest.R
tests/testthat/testCdfOfSumUsingGaussianCopula.R
tests/testthat/testCdfOfSumUsingProductCopula.R
tests/testthat/testBinomialBacktest.R
NAMESPACE
R
R/GumbelES.R
R/ChristoffersenBacktestForUnconditionalCoverage.R
R/NormalVaRFigure.R
R/BoxCoxES.R
R/LogNormalESPlot3D.R
R/BlancoIhleBacktest.R
R/LogNormalES.R
R/InsuranceVaR.R
R/BootstrapESConfInterval.R
R/HSES.R
R/GumbelVaR.R
R/LogNormalESPlot2DHP.R
R/AdjustedNormalESHotspots.R
R/CdfOfSumUsingGaussianCopula.R
R/InsuranceVaRES.R
R/FrechetVaRPlot2DCl.R
R/NormalVaRPlot3D.R
R/LongBlackScholesPutVaR.R
R/NormalVaRPlot2DHP.R
R/HSESPlot2DCl.R
R/LogNormalVaRFigure.R
R/LogtESDFPerc.R
R/NormalVaR.R
R/HillEstimator.R
R/tVaRPlot2DHP.R
R/DefaultRiskyBondVaR.R
R/FilterStrategyLogNormalVaR.R
R/tESPlot3D.R
R/NormalESConfidenceInterval.R
R/AmericanPutPriceBinomial.R
R/LogtESPlot3D.R
R/LogNormalVaRPlot2DHP.R
R/StopLossLogNormalVaR.R
R/NormalVaRPlot2DCL.R
R/TQQPlot.R
R/BootstrapVaRConfInterval.R
R/KernelVaRNormalKernel.R
R/tVaRDFPerc.R
R/LogNormalESDFPerc.R
R/HillPlot.R
R/GaussianCopulaVaR.R
R/tQuantileStandardError.R
R/CornishFisherVaR.R
R/FrechetESPlot2DCl.R
R/HSESDFPerc.R
R/CornishFisherES.R
R/PCAVaRPlot.R
R/GParetoES.R
R/BlackScholesCallESSim.R
R/ShortBlackScholesCallVaR.R
R/tESFigure.R
R/LopezBacktest.R
R/AmericanPutVaRBinomial.R
R/NormalSpectralRiskMeasure.R
R/NormalESDFPerc.R
R/PCAVaR.R
R/GParetoMultipleMEFPlot.R
R/BootstrapVaRFigure.R
R/ProductCopulaVaR.R
R/GParetoMEFPlot.R
R/NormalQuantileStandardError.R
R/NormalQQPlot.R
R/VarianceCovarianceVaR.R
R/CdfOfSumUsingProductCopula.R
R/tESPlot2DCL.R
R/BoxCoxVaR.R
R/LogtVaR.R
R/BlackScholesPutESSim.R
R/tVaR.R
R/KernelVaRBoxKernel.R
R/PickandsPlot.R
R/NormalESPlot2DCL.R
R/tESPlot2DHP.R
R/NormalVaRHotspots.R
R/FrechetVaR.R
R/PCAESPlot.R
R/tESDFPerc.R
R/AdjustedNormalVaRHotspots.R
R/tVaRFigure.R
R/HSVaR.R
R/VarianceCovarianceES.R
R/KernelESBoxKernel.R
R/tES.R
R/LogtVaRPlot2DCL.R
R/LogtVaRDFPerc.R
R/GParetoVaR.R
R/NormalESPlot2DHP.R
R/DCPensionVaR.R
R/LogNormalVaR.R
R/NormalESHotspots.R
R/PCAES.R
R/KernelVaREpanechinikovKernel.R
R/LogNormalVaRETLPlot2DCL.R
R/HillQuantileEstimator.R
R/LogNormalESPlot2DCL.R
R/GumbelVaRPlot2DCl.R
R/ADTestStat.R
R/BlackScholesCallPrice.R
R/NormalVaRConfidenceInterval.R
R/HSVaRPlot2DCl.R
R/KuiperTestStat.R
R/LogtVaRPlot2DHP.R
R/LogNormalESFigure.R
R/HSESFigure.R
R/LogtESPlot2DHP.R
R/LogtVaRPlot3D.R
R/KSTestStat.R
R/HSVaRDFPerc.R
R/LogNormalVaRDFPerc.R
R/BootstrapVaR.R
R/NormalESPlot3D.R
R/GumbelCopulaVaR.R
R/BlackScholesPutPrice.R
R/KernelESNormalKernel.R
R/PCAPrelim.R
R/PickandsEstimator.R
R/ShortBlackScholesPutVaR.R
R/LongBlackScholesCallVaR.R
R/BootstrapESFigure.R
R/NormalVaRDFPerc.R
R/BootstrapES.R
R/AdjustedVarianceCovarianceVaR.R
R/GumbelESPlot2DCl.R
R/tVaRESPlot2DCL.R
R/tVaRPlot3D.R
R/AmericanPutESSim.R
R/BinomialBacktest.R
R/LogNormalVaRPlot2DCL.R
R/LogNormalVaRPlot3D.R
R/DBPensionVaR.R
R/AdjustedVarianceCovarianceES.R
R/FrechetES.R
R/NormalESFigure.R
R/MEFPlot.R
R/LogtESPlot2DCL.R
R/JarqueBeraBacktest.R
R/ChristoffersenBacktestForIndependence.R
R/CdfOfSumUsingGumbelCopula.R
R/NormalES.R
R/KernelVaRTriangleKernel.R
R/KernelESTriangleKernel.R
R/AmericanPutESBinomial.R
R/LogtES.R
R/tVaRPlot2DCL.R
R/HSVaRFigure.R
R/KernelESEpanechinikovKernel.R
R/HSVaRESPlot2DCl.R
MD5
DESCRIPTION
THANKS
man
man/LogNormalESFigure.Rd
man/DefaultRiskyBondVaR.Rd
man/NormalVaRPlot2DCL.Rd
man/JarqueBeraBacktest.Rd
man/HillEstimator.Rd
man/HillPlot.Rd
man/ChristoffersenBacktestForIndependence.Rd
man/NormalESConfidenceInterval.Rd
man/FilterStrategyLogNormalVaR.Rd
man/BootstrapESConfInterval.Rd
man/InsuranceVaRES.Rd
man/HSVaRESPlot2DCl.Rd
man/NormalVaRPlot2DHP.Rd
man/KuiperTestStat.Rd
man/BootstrapESFigure.Rd
man/LogtVaRPlot2DCL.Rd
man/CornishFisherVaR.Rd
man/LogNormalESDFPerc.Rd
man/LopezBacktest.Rd
man/LogNormalVaRETLPlot2DCL.Rd
man/LogtVaRPlot2DHP.Rd
man/VarianceCovarianceES.Rd
man/AmericanPutESBinomial.Rd
man/FrechetVaR.Rd
man/HSVaRFigure.Rd
man/FrechetVaRPlot2DCl.Rd
man/CornishFisherES.Rd
man/NormalESPlot3D.Rd
man/ChristoffersenBacktestForUnconditionalCoverage.Rd
man/VarianceCovarianceVaR.Rd
man/BootstrapVaRConfInterval.Rd
man/BlackScholesCallPrice.Rd
man/GParetoVaR.Rd
man/LogtVaRDFPerc.Rd
man/LogtESPlot2DHP.Rd
man/KernelVaREpanechinikovKernel.Rd
man/TQQPlot.Rd
man/HSVaRDFPerc.Rd
man/PCAPrelim.Rd
man/BlackScholesPutPrice.Rd
man/tQuantileStandardError.Rd
man/ShortBlackScholesCallVaR.Rd
man/LogtVaRPlot3D.Rd
man/AdjustedNormalVaRHotspots.Rd
man/DCPensionVaR.Rd
man/LogNormalVaRDFPerc.Rd
man/GumbelVaRPlot2DCl.Rd
man/CdfOfSumUsingGumbelCopula.Rd
man/tVaRPlot2DHP.Rd
man/tESDFPerc.Rd
man/AdjustedVarianceCovarianceVaR.Rd
man/KernelESBoxKernel.Rd
man/LogNormalVaRPlot2DHP.Rd
man/FrechetESPlot2DCl.Rd
man/HSESDFPerc.Rd
man/tVaRFigure.Rd
man/LogtVaR.Rd
man/LogNormalVaRPlot3D.Rd
man/NormalESHotspots.Rd
man/LongBlackScholesCallVaR.Rd
man/NormalVaRConfidenceInterval.Rd
man/PCAESPlot.Rd
man/BootstrapES.Rd
man/BootstrapVaR.Rd
man/LogtESDFPerc.Rd
man/NormalESDFPerc.Rd
man/AdjustedVarianceCovarianceES.Rd
man/HSVaRPlot2DCl.Rd
man/tVaRESPlot2DCL.Rd
man/KernelESEpanechinikovKernel.Rd
man/LogNormalESPlot2DHP.Rd
man/NormalESPlot2DCL.Rd
man/NormalVaRDFPerc.Rd
man/ProductCopulaVaR.Rd
man/NormalVaRHotspots.Rd
man/PCAES.Rd
man/NormalQuantileStandardError.Rd
man/tVaRDFPerc.Rd
man/HillQuantileEstimator.Rd
man/BlancoIhleBacktest.Rd
man/ShortBlackScholesPutVaR.Rd
man/HSESFigure.Rd
man/KSTestStat.Rd
man/GParetoMultipleMEFPlot.Rd
man/GumbelCopulaVaR.Rd
man/MEFPlot.Rd
man/NormalESPlot2DHP.Rd
man/LogNormalES.Rd
man/AdjustedNormalESHotspots.Rd
man/NormalES.Rd
man/tESPlot2DCL.Rd
man/BlackScholesPutESSim.Rd
man/tVaR.Rd
man/ADTestStat.Rd
man/LogtESPlot3D.Rd
man/AmericanPutVaRBinomial.Rd
man/CdfOfSumUsingGaussianCopula.Rd
man/NormalQQPlot.Rd
man/BlackScholesCallESSim.Rd
man/GumbelESPlot2DCl.Rd
man/LogtES.Rd
man/CdfOfSumUsingProductCopula.Rd
man/tVaRPlot2DCL.Rd
man/GumbelES.Rd
man/tVaRPlot3D.Rd
man/BinomialBacktest.Rd
man/AmericanPutESSim.Rd
man/GaussianCopulaVaR.Rd
man/LogNormalVaRPlot2DCL.Rd
man/LogNormalVaRFigure.Rd
man/KernelVaRNormalKernel.Rd
man/tESPlot2DHP.Rd
man/KernelESTriangleKernel.Rd
man/Dowd-package.Rd
man/HSES.Rd
man/DBPensionVaR.Rd
man/GParetoES.Rd
man/NormalVaR.Rd
man/AmericanPutPriceBinomial.Rd
man/KernelVaRTriangleKernel.Rd
man/StopLossLogNormalVaR.Rd
man/BootstrapVaRFigure.Rd
man/LogNormalESPlot3D.Rd
man/NormalVaRFigure.Rd
man/tESFigure.Rd
man/BoxCoxES.Rd
man/FrechetES.Rd
man/NormalVaRPlot3D.Rd
man/GumbelVaR.Rd
man/LongBlackScholesPutVaR.Rd
man/LogNormalVaR.Rd
man/InsuranceVaR.Rd
man/tESPlot3D.Rd
man/PCAVaR.Rd
man/PickandsPlot.Rd
man/GParetoMEFPlot.Rd
man/KernelESNormalKernel.Rd
man/PCAVaRPlot.Rd
man/KernelVaRBoxKernel.Rd
man/LogtESPlot2DCL.Rd
man/HSESPlot2DCl.Rd
man/BoxCoxVaR.Rd
man/LogNormalESPlot2DCL.Rd
man/NormalSpectralRiskMeasure.Rd
man/HSVaR.Rd
man/PickandsEstimator.Rd
man/NormalESFigure.Rd
man/tES.Rd
Dowd documentation built on May 19, 2017, 11:39 p.m.