Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Version 0.11

Kevin Dowd's book Measuring Market Risk is a widely read book in the area of risk measurement by students and practitioners alike. As he claims, 'MATLAB' indeed might have been the most suitable language when he originally wrote the functions, but, with growing popularity of R it is not entirely valid. As Dowd's code was not intended to be error free and were mainly for reference, some functions in this package have inherited those errors. An attempt will be made in future releases to identify and correct them. Dowd's original code can be downloaded from www.kevindowd.org/measuring-market-risk/. It should be noted that Dowd offers both 'MMR2' and 'MMR1' toolboxes. Only 'MMR2' was ported to R. 'MMR2' is more recent version of 'MMR1' toolbox and they both have mostly similar function. The toolbox mainly contains different parametric and non parametric methods for measurement of market risk as well as backtesting risk measurement methods.

Package details

AuthorDinesh Acharya <dines.acharya@gmail.com>
Date of publication2015-11-18 09:47:25
MaintainerDinesh Acharya <dines.acharya@gmail.com>
LicenseGPL
Version0.11
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("Dowd", repos="http://R-Forge.R-project.org")

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Dowd documentation built on May 31, 2017, 4:46 a.m.