R-version of Kevin Dowd's MATLAB Toolbox from book "Measuring Market Risk".


Dowd Kevin Dowd's book "Measuring Market Risk" gives overview of risk measurement procedures with focus on Value at Risk (VaR) and Expected Shortfall (ES).


Without Kevin Dowd's book Measuring Market Risk and accompanying MATLAB toolbox, this project would not have been possible.

Peter Carl and Brian G. Peterson deserve special acknowledgement for mentoring me on this project.


Dinesh Acharya

Maintainer: Dinesh Acharya dines.acharya@gmail.com


Dowd, K. Measuring Market Risk. Wiley. 2005.

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