Man pages for Dowd
Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

AdjustedNormalESHotspotsHotspots for ES adjusted by Cornish-Fisher correction
AdjustedNormalVaRHotspotsHotspots for VaR adjusted by Cornish-Fisher correction
AdjustedVarianceCovarianceESCornish-Fisher adjusted Variance-Covariance ES
AdjustedVarianceCovarianceVaRCornish-Fisher adjusted variance-covariance VaR
ADTestStatPlots cumulative density for AD test and computes confidence...
AmericanPutESBinomialEstimates ES of American vanilla put using binomial tree.
AmericanPutESSimEstimates ES of American vanilla put using binomial option...
AmericanPutPriceBinomialBinomial Put Price
AmericanPutVaRBinomialEstimates VaR of American vanilla put using binomial tree.
BinomialBacktestCarries out the binomial backtest for a VaR risk measurement...
BlackScholesCallESSimES of Black-Scholes call using Monte Carlo Simulation
BlackScholesCallPricePrice of European Call Option
BlackScholesPutESSimES of Black-Scholes put using Monte Carlo Simulation
BlackScholesPutPricePrice of European Put Option
BlancoIhleBacktestBlanco-Ihle forecast evaluation backtest measure
BootstrapESBootstrapped ES for specified confidence level
BootstrapESConfIntervalBootstrapped ES Confidence Interval
BootstrapESFigurePlots figure of bootstrapped ES
BootstrapVaRBootstrapped VaR for specified confidence level
BootstrapVaRConfIntervalBootstrapped VaR Confidence Interval
BootstrapVaRFigurePlots figure of bootstrapped VaR
BoxCoxESEstimates ES with Box-Cox transformation
BoxCoxVaREstimates VaR with Box-Cox transformation
CdfOfSumUsingGaussianCopulaDerives prob ( X + Y < quantile) using Gaussian copula
CdfOfSumUsingGumbelCopulaDerives prob ( X + Y < quantile) using Gumbel copula
CdfOfSumUsingProductCopulaDerives prob ( X + Y < quantile) using Product copula
ChristoffersenBacktestForIndependenceChristoffersen Backtest for Independence
ChristoffersenBacktestForUnconditionalCoverageChristoffersen Backtest for Unconditional Coverage
CornishFisherESCorn-Fisher ES
CornishFisherVaRCorn-Fisher VaR
DBPensionVaRMonte Carlo VaR for DB pension
DCPensionVaRMonte Carlo VaR for DC pension
DefaultRiskyBondVaRVaR for default risky bond portfolio
Dowd-packageR-version of Kevin Dowd's MATLAB Toolbox from book "Measuring...
FilterStrategyLogNormalVaRLog Normal VaR with filter strategy
FrechetESFrechet Expected Shortfall
FrechetESPlot2DClPlots Frechet Expected Shortfall against confidence level
FrechetVaRFrechet Value at Risk
FrechetVaRPlot2DClPlots Frechet Value at Risk against Cl
GaussianCopulaVaRBivariate Gaussian Copule VaR
GParetoESExpected Shortfall for Generalized Pareto
GParetoMEFPlotPlot of Emperical and Generalised Pareto mean excess...
GParetoMultipleMEFPlotPlot of Emperical and 2 Generalised Pareto mean excess...
GParetoVaRVaR for Generalized Pareto
GumbelCopulaVaRBivariate Gumbel Copule VaR
GumbelESGumbel ES
GumbelESPlot2DClGumbel VaR
GumbelVaRGumbel VaR
GumbelVaRPlot2DClGumbel VaR
HillEstimatorHill Estimator
HillPlotHill Plot
HillQuantileEstimatorHill Quantile Estimator
HSESExpected Shortfall of a portfolio using Historical Estimator
HSESDFPercPercentile of historical simulation ES distribution function
HSESFigureFigure of Historical SImulation VaR and ES and histogram of...
HSESPlot2DClPlots historical simulation ES against confidence level
HSVaRValue at Risk of a portfolio using Historical Estimator
HSVaRDFPercPercentile of historical simulation VaR distribution function
HSVaRESPlot2DClPlots historical simulation VaR and ES against confidence...
HSVaRFigureFigure of Historical SImulation VaR and histogram of L/P
HSVaRPlot2DClPlots historical simulation VaR against confidence level
InsuranceVaRVaR of Insurance Portfolio
InsuranceVaRESVaR and ES of Insurance Portfolio
JarqueBeraBacktestJarque-Bera backtest for normality.
KernelESBoxKernelCalculates ES using box kernel approach
KernelESEpanechinikovKernelCalculates ES using Epanechinikov kernel approach
KernelESNormalKernelCalculates ES using normal kernel approach
KernelESTriangleKernelCalculates ES using triangle kernel approach
KernelVaRBoxKernelCalculates VaR using box kernel approach
KernelVaREpanechinikovKernelCalculates VaR using epanechinikov kernel approach
KernelVaRNormalKernelCalculates VaR using normal kernel approach
KernelVaRTriangleKernelCalculates VaR using triangle kernel approach
KSTestStatPlots cumulative density for KS test and computes confidence...
KuiperTestStatPlots cummulative density for Kuiper test and computes...
LogNormalESES for normally distributed geometric returns
LogNormalESDFPercPercentiles of ES distribution function for normally...
LogNormalESFigureFigure of lognormal VaR and ES and pdf against L/P
LogNormalESPlot2DCLPlots log normal ES against confidence level
LogNormalESPlot2DHPPlots log normal ES against holding period
LogNormalESPlot3DPlots log normal ES against confidence level and holding...
LogNormalVaRVaR for normally distributed geometric returns
LogNormalVaRDFPercPercentiles of VaR distribution function for normally...
LogNormalVaRETLPlot2DCLPlots log normal VaR and ETL against confidence level
LogNormalVaRFigureFigure of lognormal VaR and pdf against L/P
LogNormalVaRPlot2DCLPlots log normal VaR against confidence level
LogNormalVaRPlot2DHPPlots log normal VaR against holding period
LogNormalVaRPlot3DPlots log normal VaR against confidence level and holding...
LogtESES for t distributed geometric returns
LogtESDFPercPercentiles of ES distribution function for Student-t
LogtESPlot2DCLPlots log-t ES against confidence level
LogtESPlot2DHPPlots log-t ES against holding period
LogtESPlot3DPlots log-t ES against confidence level and holding period
LogtVaRVaR for t distributed geometric returns
LogtVaRDFPercPercentiles of VaR distribution function for Student-t
LogtVaRPlot2DCLPlots log-t VaR against confidence level
LogtVaRPlot2DHPPlots log-t VaR against holding period
LogtVaRPlot3DPlots log-t VaR against confidence level and holding period
LongBlackScholesCallVaRDerives VaR of a long Black Scholes call option
LongBlackScholesPutVaRDerives VaR of a long Black Scholes put option
LopezBacktestFirst (binomial) Lopez forecast evaluation backtest score...
MEFPlotMean Excess Function Plot
NormalESES for normally distributed P/L
NormalESConfidenceIntervalGenerates Monte Carlo 95% Confidence Intervals for normal ES
NormalESDFPercPercentiles of ES distribution function for normally...
NormalESFigureFigure of normal VaR and ES and pdf against L/P
NormalESHotspotsHotspots for normal ES
NormalESPlot2DCLPlots normal ES against confidence level
NormalESPlot2DHPPlots normal ES against holding period
NormalESPlot3DPlots normal ES against confidence level and holding period
NormalQQPlotNormal Quantile Quantile Plot
NormalQuantileStandardErrorStandard error of normal quantile estimate
NormalSpectralRiskMeasureEstimates the spectral risk measure of a portfolio
NormalVaRVaR for normally distributed P/L
NormalVaRConfidenceIntervalGenerates Monte Carlo 95% Confidence Intervals for normal VaR
NormalVaRDFPercPercentiles of VaR distribution function for normally...
NormalVaRFigureFigure of normal VaR and pdf against L/P
NormalVaRHotspotsHotspots for normal VaR
NormalVaRPlot2DCLPlots normal VaR against confidence level
NormalVaRPlot2DHPPlots normal VaR against holding period
NormalVaRPlot3DPlots normal VaR in 3D against confidence level and holding...
PCAESEstimates ES by principal components analysis
PCAESPlotES plot
PCAPrelimEstimates VaR plot using principal components analysis
PCAVaREstimates VaR by principal components analysis
PCAVaRPlotVaR plot
PickandsEstimatorPickands Estimator
PickandsPlotPickand Estimator - Tail Sample Size Plot
ProductCopulaVaRBivariate Product Copule VaR
ShortBlackScholesCallVaRDerives VaR of a short Black Scholes call option
ShortBlackScholesPutVaRDerives VaR of a short Black Scholes put option
StopLossLogNormalVaRLog Normal VaR with stop loss limit
tESES for t distributed P/L
tESDFPercPercentiles of ES distribution function for t-distributed P/L
tESFigureFigure of t - VaR and ES and pdf against L/P
tESPlot2DCLPlots t- ES against confidence level
tESPlot2DHPPlots t ES against holding period
tESPlot3DPlots t ES against confidence level and holding period
TQQPlotStudent's T Quantile - Quantile Plot
tQuantileStandardErrorStandard error of t quantile estimate
tVaRVaR for t distributed P/L
tVaRDFPercPercentiles of VaR distribution function
tVaRESPlot2DCLPlots t VaR and ES against confidence level
tVaRFigureFigure of t- VaR and pdf against L/P
tVaRPlot2DCLPlots t VaR against confidence level
tVaRPlot2DHPPlots t VaR against holding period
tVaRPlot3DPlots t VaR against confidence level and holding period
VarianceCovarianceESVariance-covariance ES for normally distributed returns
VarianceCovarianceVaRVariance-covariance VaR for normally distributed returns
Dowd documentation built on May 30, 2017, 1:30 a.m.