Description Usage Arguments Value Author(s) References Examples
View source: R/KernelESTriangleKernel.R
The output consists of a scalar ES for specified confidence level.
1 | KernelESTriangleKernel(Ra, cl)
|
Ra |
Profit and Loss data set |
cl |
VaR confidence level |
Scalar VaR
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 | # VaR for specified confidence level using triangle kernel approach
Ra <- rnorm(30)
KernelESTriangleKernel(Ra, .95)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.