KernelESTriangleKernel: Calculates ES using triangle kernel approach

Description Usage Arguments Value Author(s) References Examples

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

1
2
3
# VaR for specified confidence level using triangle kernel approach
   Ra <- rnorm(30)
   KernelESTriangleKernel(Ra, .95)


Search within the Dowd package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.