KernelESTriangleKernel: Calculates ES using triangle kernel approach

Description Usage Arguments Value Author(s) References Examples

View source: R/KernelESTriangleKernel.R

Description

The output consists of a scalar ES for specified confidence level.

Usage

1

Arguments

Ra

Profit and Loss data set

cl

VaR confidence level

Value

Scalar VaR

Author(s)

Dinesh Acharya

References

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

Examples

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# VaR for specified confidence level using triangle kernel approach
   Ra <- rnorm(30)
   KernelESTriangleKernel(Ra, .95)

Dowd documentation built on May 30, 2017, 1:30 a.m.

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