Description Usage Arguments Value Author(s) References Examples

Function estimates the ES of a portfolio assuming P and L data set transformed using the BoxCox transformation to make it as near normal as possible, for specified confidence level and holding period implied by data frequency.

1 | ```
BoxCoxES(loss.data, cl)
``` |

`loss.data` |
Daily Profit/Loss data |

`cl` |
Confidence Level. It can be a scalar or a vector. |

Estimated Box-Cox ES. Its dimension is same as that of cl

Dinesh Acharya

Dowd, K. Measuring Market Risk, Wiley, 2007.

Hamilton, S. A. and Taylor, M. G. A Comparision of the Box-Cox transformation method and nonparametric methods for estimating quantiles in clinical data with repeated measures. J. Statist. Comput. Simul., vol. 45, 1993, pp. 185 - 201.

1 2 3 |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.