Man pages for dandermotj/mmr
Measuring Market Risk
| compute_es | Compute Expected Shortfall given a VaR measure |
| es_cornishfisher | Expected Shortall using the Cornish Fisher adjustment for... |
| es_historical | Expected Shortfall using the historical simulation approach |
| es_lognormal | Expected Shortfall for normally distributed geometric returns |
| es_normal | Expected Shortfall for normally distributed P/L |
| EWMA_corr | Exponentially Weighted Moving Average correlation between two... |
| EWMA_cov | Exponentially Weighted Moving Average covariance between two... |
| EWMA_vol | TODO: Filtered Historical Simulation (pg. 69 4.4.3)... |
| expected_shortfall | Expected Shortfall |
| hello | Hello, World! |
| roll | Rolling Window function |
| test_jb | Christoffersen Conditional Backtesting Approach |
| test_kupiec | Binomial Test (Kupiec Test/Frequency-of-tail-losses Test) |
| value_at_risk | Value at Risk |
| var_historical | Historical Value at Risk |
| var_lognormal | Value at Risk for lognormally distributed P/L |
| var_normal | Value At Risk for normally distributed P/L |
| weight_by_age | Age Weighting function |
| weight_by_vol | Volatility Weighting function |
