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

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 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.

AuthorDinesh Acharya <>
Date of publication2015-11-18 09:47:25
MaintainerDinesh Acharya <>

View on R-Forge

Man pages

AdjustedNormalESHotspots: Hotspots for ES adjusted by Cornish-Fisher correction

AdjustedNormalVaRHotspots: Hotspots for VaR adjusted by Cornish-Fisher correction

AdjustedVarianceCovarianceES: Cornish-Fisher adjusted Variance-Covariance ES

AdjustedVarianceCovarianceVaR: Cornish-Fisher adjusted variance-covariance VaR

ADTestStat: Plots cumulative density for AD test and computes confidence...

AmericanPutESBinomial: Estimates ES of American vanilla put using binomial tree.

AmericanPutESSim: Estimates ES of American vanilla put using binomial option...

AmericanPutPriceBinomial: Binomial Put Price

AmericanPutVaRBinomial: Estimates VaR of American vanilla put using binomial tree.

BinomialBacktest: Carries out the binomial backtest for a VaR risk measurement...

BlackScholesCallESSim: ES of Black-Scholes call using Monte Carlo Simulation

BlackScholesCallPrice: Price of European Call Option

BlackScholesPutESSim: ES of Black-Scholes put using Monte Carlo Simulation

BlackScholesPutPrice: Price of European Put Option

BlancoIhleBacktest: Blanco-Ihle forecast evaluation backtest measure

BootstrapES: Bootstrapped ES for specified confidence level

BootstrapESConfInterval: Bootstrapped ES Confidence Interval

BootstrapESFigure: Plots figure of bootstrapped ES

BootstrapVaR: Bootstrapped VaR for specified confidence level

BootstrapVaRConfInterval: Bootstrapped VaR Confidence Interval

BootstrapVaRFigure: Plots figure of bootstrapped VaR

BoxCoxES: Estimates ES with Box-Cox transformation

BoxCoxVaR: Estimates VaR with Box-Cox transformation

CdfOfSumUsingGaussianCopula: Derives prob ( X + Y < quantile) using Gaussian copula

CdfOfSumUsingGumbelCopula: Derives prob ( X + Y < quantile) using Gumbel copula

CdfOfSumUsingProductCopula: Derives prob ( X + Y < quantile) using Product copula

ChristoffersenBacktestForIndependence: Christoffersen Backtest for Independence

ChristoffersenBacktestForUnconditionalCoverage: Christoffersen Backtest for Unconditional Coverage

CornishFisherES: Corn-Fisher ES

CornishFisherVaR: Corn-Fisher VaR

DBPensionVaR: Monte Carlo VaR for DB pension

DCPensionVaR: Monte Carlo VaR for DC pension

DefaultRiskyBondVaR: VaR for default risky bond portfolio

Dowd-package: R-version of Kevin Dowd's MATLAB Toolbox from book "Measuring...

FilterStrategyLogNormalVaR: Log Normal VaR with filter strategy

FrechetES: Frechet Expected Shortfall

FrechetESPlot2DCl: Plots Frechet Expected Shortfall against confidence level

FrechetVaR: Frechet Value at Risk

FrechetVaRPlot2DCl: Plots Frechet Value at Risk against Cl

GaussianCopulaVaR: Bivariate Gaussian Copule VaR

GParetoES: Expected Shortfall for Generalized Pareto

GParetoMEFPlot: Plot of Emperical and Generalised Pareto mean excess...

GParetoMultipleMEFPlot: Plot of Emperical and 2 Generalised Pareto mean excess...

GParetoVaR: VaR for Generalized Pareto

GumbelCopulaVaR: Bivariate Gumbel Copule VaR

GumbelES: Gumbel ES

GumbelESPlot2DCl: Gumbel VaR

GumbelVaR: Gumbel VaR

GumbelVaRPlot2DCl: Gumbel VaR

HillEstimator: Hill Estimator

HillPlot: Hill Plot

HillQuantileEstimator: Hill Quantile Estimator

HSES: Expected Shortfall of a portfolio using Historical Estimator

HSESDFPerc: Percentile of historical simulation ES distribution function

HSESFigure: Figure of Historical SImulation VaR and ES and histogram of...

HSESPlot2DCl: Plots historical simulation ES against confidence level

HSVaR: Value at Risk of a portfolio using Historical Estimator

HSVaRDFPerc: Percentile of historical simulation VaR distribution function

HSVaRESPlot2DCl: Plots historical simulation VaR and ES against confidence...

HSVaRFigure: Figure of Historical SImulation VaR and histogram of L/P

HSVaRPlot2DCl: Plots historical simulation VaR against confidence level

InsuranceVaR: VaR of Insurance Portfolio

InsuranceVaRES: VaR and ES of Insurance Portfolio

JarqueBeraBacktest: Jarque-Bera backtest for normality.

KernelESBoxKernel: Calculates ES using box kernel approach

KernelESEpanechinikovKernel: Calculates ES using Epanechinikov kernel approach

KernelESNormalKernel: Calculates ES using normal kernel approach

KernelESTriangleKernel: Calculates ES using triangle kernel approach

KernelVaRBoxKernel: Calculates VaR using box kernel approach

KernelVaREpanechinikovKernel: Calculates VaR using epanechinikov kernel approach

KernelVaRNormalKernel: Calculates VaR using normal kernel approach

KernelVaRTriangleKernel: Calculates VaR using triangle kernel approach

KSTestStat: Plots cumulative density for KS test and computes confidence...

KuiperTestStat: Plots cummulative density for Kuiper test and computes...

LogNormalES: ES for normally distributed geometric returns

LogNormalESDFPerc: Percentiles of ES distribution function for normally...

LogNormalESFigure: Figure of lognormal VaR and ES and pdf against L/P

LogNormalESPlot2DCL: Plots log normal ES against confidence level

LogNormalESPlot2DHP: Plots log normal ES against holding period

LogNormalESPlot3D: Plots log normal ES against confidence level and holding...

LogNormalVaR: VaR for normally distributed geometric returns

LogNormalVaRDFPerc: Percentiles of VaR distribution function for normally...

LogNormalVaRETLPlot2DCL: Plots log normal VaR and ETL against confidence level

LogNormalVaRFigure: Figure of lognormal VaR and pdf against L/P

LogNormalVaRPlot2DCL: Plots log normal VaR against confidence level

LogNormalVaRPlot2DHP: Plots log normal VaR against holding period

LogNormalVaRPlot3D: Plots log normal VaR against confidence level and holding...

LogtES: ES for t distributed geometric returns

LogtESDFPerc: Percentiles of ES distribution function for Student-t

LogtESPlot2DCL: Plots log-t ES against confidence level

LogtESPlot2DHP: Plots log-t ES against holding period

LogtESPlot3D: Plots log-t ES against confidence level and holding period

LogtVaR: VaR for t distributed geometric returns

LogtVaRDFPerc: Percentiles of VaR distribution function for Student-t

LogtVaRPlot2DCL: Plots log-t VaR against confidence level

LogtVaRPlot2DHP: Plots log-t VaR against holding period

LogtVaRPlot3D: Plots log-t VaR against confidence level and holding period

LongBlackScholesCallVaR: Derives VaR of a long Black Scholes call option

LongBlackScholesPutVaR: Derives VaR of a long Black Scholes put option

LopezBacktest: First (binomial) Lopez forecast evaluation backtest score...

MEFPlot: Mean Excess Function Plot

NormalES: ES for normally distributed P/L

NormalESConfidenceInterval: Generates Monte Carlo 95% Confidence Intervals for normal ES

NormalESDFPerc: Percentiles of ES distribution function for normally...

NormalESFigure: Figure of normal VaR and ES and pdf against L/P

NormalESHotspots: Hotspots for normal ES

NormalESPlot2DCL: Plots normal ES against confidence level

NormalESPlot2DHP: Plots normal ES against holding period

NormalESPlot3D: Plots normal ES against confidence level and holding period

NormalQQPlot: Normal Quantile Quantile Plot

NormalQuantileStandardError: Standard error of normal quantile estimate

NormalSpectralRiskMeasure: Estimates the spectral risk measure of a portfolio

NormalVaR: VaR for normally distributed P/L

NormalVaRConfidenceInterval: Generates Monte Carlo 95% Confidence Intervals for normal VaR

NormalVaRDFPerc: Percentiles of VaR distribution function for normally...

NormalVaRFigure: Figure of normal VaR and pdf against L/P

NormalVaRHotspots: Hotspots for normal VaR

NormalVaRPlot2DCL: Plots normal VaR against confidence level

NormalVaRPlot2DHP: Plots normal VaR against holding period

NormalVaRPlot3D: Plots normal VaR in 3D against confidence level and holding...

PCAES: Estimates ES by principal components analysis

PCAESPlot: ES plot

PCAPrelim: Estimates VaR plot using principal components analysis

PCAVaR: Estimates VaR by principal components analysis

PCAVaRPlot: VaR plot

PickandsEstimator: Pickands Estimator

PickandsPlot: Pickand Estimator - Tail Sample Size Plot

ProductCopulaVaR: Bivariate Product Copule VaR

ShortBlackScholesCallVaR: Derives VaR of a short Black Scholes call option

ShortBlackScholesPutVaR: Derives VaR of a short Black Scholes put option

StopLossLogNormalVaR: Log Normal VaR with stop loss limit

tES: ES for t distributed P/L

tESDFPerc: Percentiles of ES distribution function for t-distributed P/L

tESFigure: Figure of t - VaR and ES and pdf against L/P

tESPlot2DCL: Plots t- ES against confidence level

tESPlot2DHP: Plots t ES against holding period

tESPlot3D: Plots t ES against confidence level and holding period

TQQPlot: Student's T Quantile - Quantile Plot

tQuantileStandardError: Standard error of t quantile estimate

tVaR: VaR for t distributed P/L

tVaRDFPerc: Percentiles of VaR distribution function

tVaRESPlot2DCL: Plots t VaR and ES against confidence level

tVaRFigure: Figure of t- VaR and pdf against L/P

tVaRPlot2DCL: Plots t VaR against confidence level

tVaRPlot2DHP: Plots t VaR against holding period

tVaRPlot3D: Plots t VaR against confidence level and holding period

VarianceCovarianceES: Variance-covariance ES for normally distributed returns

VarianceCovarianceVaR: Variance-covariance VaR for normally distributed returns


AdjustedNormalESHotspots Man page
AdjustedNormalVaRHotspots Man page
AdjustedVarianceCovarianceES Man page
AdjustedVarianceCovarianceVaR Man page
ADTestStat Man page
AmericanPutESBinomial Man page
AmericanPutESSim Man page
AmericanPutPriceBinomial Man page
AmericanPutVaRBinomial Man page
BinomialBacktest Man page
BlackScholesCallESSim Man page
BlackScholesCallPrice Man page
BlackScholesPutESSim Man page
BlackScholesPutPrice Man page
BlancoIhleBacktest Man page
BootstrapES Man page
BootstrapESConfInterval Man page
BootstrapESFigure Man page
BootstrapVaR Man page
BootstrapVaRConfInterval Man page
BootstrapVaRFigure Man page
BoxCoxES Man page
BoxCoxVaR Man page
CdfOfSumUsingGaussianCopula Man page
CdfOfSumUsingGumbelCopula Man page
CdfOfSumUsingProductCopula Man page
ChristoffersenBacktestForIndependence Man page
ChristoffersenBacktestForUnconditionalCoverage Man page
CornishFisherES Man page
CornishFisherVaR Man page
DBPensionVaR Man page
DCPensionVaR Man page
DefaultRiskyBondVaR Man page
Dowd-package Man page
FilterStrategyLogNormalVaR Man page
FrechetES Man page
FrechetESPlot2DCl Man page
FrechetVaR Man page
FrechetVaRPlot2DCl Man page
GaussianCopulaVaR Man page
GParetoES Man page
GParetoMEFPlot Man page
GParetoMultipleMEFPlot Man page
GParetoVaR Man page
GumbelCopulaVaR Man page
GumbelES Man page
GumbelESPlot2DCl Man page
GumbelVaR Man page
GumbelVaRPlot2DCl Man page
HillEstimator Man page
HillPlot Man page
HillQuantileEstimator Man page
HSES Man page
HSESDFPerc Man page
HSESFigure Man page
HSESPlot2DCl Man page
HSVaR Man page
HSVaRDFPerc Man page
HSVaRESPlot2DCl Man page
HSVaRFigure Man page
HSVaRPlot2DCl Man page
InsuranceVaR Man page
InsuranceVaRES Man page
JarqueBeraBacktest Man page
KernelESBoxKernel Man page
KernelESEpanechinikovKernel Man page
KernelESNormalKernel Man page
KernelESTriangleKernel Man page
KernelVaRBoxKernel Man page
KernelVaREpanechinikovKernel Man page
KernelVaRNormalKernel Man page
KernelVaRTriangleKernel Man page
KSTestStat Man page
KuiperTestStat Man page
LogNormalES Man page
LogNormalESDFPerc Man page
LogNormalESFigure Man page
LogNormalESPlot2DCL Man page
LogNormalESPlot2DHP Man page
LogNormalESPlot3D Man page
LogNormalVaR Man page
LogNormalVaRDFPerc Man page
LogNormalVaRETLPlot2DCL Man page
LogNormalVaRFigure Man page
LogNormalVaRPlot2DCL Man page
LogNormalVaRPlot2DHP Man page
LogNormalVaRPlot3D Man page
LogtES Man page
LogtESDFPerc Man page
LogtESPlot2DCL Man page
LogtESPlot2DHP Man page
LogtESPlot3D Man page
LogtVaR Man page
LogtVaRDFPerc Man page
LogtVaRPlot2DCL Man page
LogtVaRPlot2DHP Man page
LogtVaRPlot3D Man page
LongBlackScholesCallVaR Man page
LongBlackScholesPutVaR Man page
LopezBacktest Man page
MEFPlot Man page
NormalES Man page
NormalESConfidenceInterval Man page
NormalESDFPerc Man page
NormalESFigure Man page
NormalESHotspots Man page
NormalESPlot2DCL Man page
NormalESPlot2DHP Man page
NormalESPlot3D Man page
NormalQQPlot Man page
NormalQuantileStandardError Man page
NormalSpectralRiskMeasure Man page
NormalVaR Man page
NormalVaRConfidenceInterval Man page
NormalVaRDFPerc Man page
NormalVaRFigure Man page
NormalVaRHotspots Man page
NormalVaRPlot2DCL Man page
NormalVaRPlot2DHP Man page
NormalVaRPlot3D Man page
PCAES Man page
PCAESPlot Man page
PCAPrelim Man page
PCAVaR Man page
PCAVaRPlot Man page
PickandsEstimator Man page
PickandsPlot Man page
ProductCopulaVaR Man page
ShortBlackScholesCallVaR Man page
ShortBlackScholesPutVaR Man page
StopLossLogNormalVaR Man page
tES Man page
tESDFPerc Man page
tESFigure Man page
tESPlot2DCL Man page
tESPlot2DHP Man page
tESPlot3D Man page
TQQPlot Man page
tQuantileStandardError Man page
tVaR Man page
tVaRDFPerc Man page
tVaRESPlot2DCL Man page
tVaRFigure Man page
tVaRPlot2DCL Man page
tVaRPlot2DHP Man page
tVaRPlot3D Man page
VarianceCovarianceES Man page
VarianceCovarianceVaR Man page


R/ADTestStat.R R/AdjustedNormalESHotspots.R R/AdjustedNormalVaRHotspots.R R/AdjustedVarianceCovarianceES.R R/AdjustedVarianceCovarianceVaR.R R/AmericanPutESBinomial.R R/AmericanPutESSim.R R/AmericanPutPriceBinomial.R R/AmericanPutVaRBinomial.R R/BinomialBacktest.R R/BlackScholesCallESSim.R R/BlackScholesCallPrice.R R/BlackScholesPutESSim.R R/BlackScholesPutPrice.R R/BlancoIhleBacktest.R R/BootstrapES.R R/BootstrapESConfInterval.R R/BootstrapESFigure.R R/BootstrapVaR.R R/BootstrapVaRConfInterval.R R/BootstrapVaRFigure.R R/BoxCoxES.R R/BoxCoxVaR.R R/CdfOfSumUsingGaussianCopula.R R/CdfOfSumUsingGumbelCopula.R R/CdfOfSumUsingProductCopula.R R/ChristoffersenBacktestForIndependence.R R/ChristoffersenBacktestForUnconditionalCoverage.R R/CornishFisherES.R R/CornishFisherVaR.R R/DBPensionVaR.R R/DCPensionVaR.R R/DefaultRiskyBondVaR.R R/FilterStrategyLogNormalVaR.R R/FrechetES.R R/FrechetESPlot2DCl.R R/FrechetVaR.R R/FrechetVaRPlot2DCl.R R/GParetoES.R R/GParetoMEFPlot.R R/GParetoMultipleMEFPlot.R R/GParetoVaR.R R/GaussianCopulaVaR.R R/GumbelCopulaVaR.R R/GumbelES.R R/GumbelESPlot2DCl.R R/GumbelVaR.R R/GumbelVaRPlot2DCl.R R/HSES.R R/HSESDFPerc.R R/HSESFigure.R R/HSESPlot2DCl.R R/HSVaR.R R/HSVaRDFPerc.R R/HSVaRESPlot2DCl.R R/HSVaRFigure.R R/HSVaRPlot2DCl.R R/HillEstimator.R R/HillPlot.R R/HillQuantileEstimator.R R/InsuranceVaR.R R/InsuranceVaRES.R R/JarqueBeraBacktest.R R/KSTestStat.R R/KernelESBoxKernel.R R/KernelESEpanechinikovKernel.R R/KernelESNormalKernel.R R/KernelESTriangleKernel.R R/KernelVaRBoxKernel.R R/KernelVaREpanechinikovKernel.R R/KernelVaRNormalKernel.R R/KernelVaRTriangleKernel.R R/KuiperTestStat.R R/LogNormalES.R R/LogNormalESDFPerc.R R/LogNormalESFigure.R R/LogNormalESPlot2DCL.R R/LogNormalESPlot2DHP.R R/LogNormalESPlot3D.R R/LogNormalVaR.R R/LogNormalVaRDFPerc.R R/LogNormalVaRETLPlot2DCL.R R/LogNormalVaRFigure.R R/LogNormalVaRPlot2DCL.R R/LogNormalVaRPlot2DHP.R R/LogNormalVaRPlot3D.R R/LogtES.R R/LogtESDFPerc.R R/LogtESPlot2DCL.R R/LogtESPlot2DHP.R R/LogtESPlot3D.R R/LogtVaR.R R/LogtVaRDFPerc.R R/LogtVaRPlot2DCL.R R/LogtVaRPlot2DHP.R R/LogtVaRPlot3D.R R/LongBlackScholesCallVaR.R R/LongBlackScholesPutVaR.R R/LopezBacktest.R R/MEFPlot.R R/NormalES.R R/NormalESConfidenceInterval.R R/NormalESDFPerc.R R/NormalESFigure.R R/NormalESHotspots.R R/NormalESPlot2DCL.R R/NormalESPlot2DHP.R R/NormalESPlot3D.R R/NormalQQPlot.R R/NormalQuantileStandardError.R R/NormalSpectralRiskMeasure.R R/NormalVaR.R R/NormalVaRConfidenceInterval.R R/NormalVaRDFPerc.R R/NormalVaRFigure.R R/NormalVaRHotspots.R R/NormalVaRPlot2DCL.R R/NormalVaRPlot2DHP.R R/NormalVaRPlot3D.R R/PCAES.R R/PCAESPlot.R R/PCAPrelim.R R/PCAVaR.R R/PCAVaRPlot.R R/PickandsEstimator.R R/PickandsPlot.R R/ProductCopulaVaR.R R/ShortBlackScholesCallVaR.R R/ShortBlackScholesPutVaR.R R/StopLossLogNormalVaR.R R/TQQPlot.R R/VarianceCovarianceES.R R/VarianceCovarianceVaR.R R/tES.R R/tESDFPerc.R R/tESFigure.R R/tESPlot2DCL.R R/tESPlot2DHP.R R/tESPlot3D.R R/tQuantileStandardError.R R/tVaR.R R/tVaRDFPerc.R R/tVaRESPlot2DCL.R R/tVaRFigure.R R/tVaRPlot2DCL.R R/tVaRPlot2DHP.R R/tVaRPlot3D.R
man/ADTestStat.Rd man/AdjustedNormalESHotspots.Rd man/AdjustedNormalVaRHotspots.Rd man/AdjustedVarianceCovarianceES.Rd man/AdjustedVarianceCovarianceVaR.Rd man/AmericanPutESBinomial.Rd man/AmericanPutESSim.Rd man/AmericanPutPriceBinomial.Rd man/AmericanPutVaRBinomial.Rd man/BinomialBacktest.Rd man/BlackScholesCallESSim.Rd man/BlackScholesCallPrice.Rd man/BlackScholesPutESSim.Rd man/BlackScholesPutPrice.Rd man/BlancoIhleBacktest.Rd man/BootstrapES.Rd man/BootstrapESConfInterval.Rd man/BootstrapESFigure.Rd man/BootstrapVaR.Rd man/BootstrapVaRConfInterval.Rd man/BootstrapVaRFigure.Rd man/BoxCoxES.Rd man/BoxCoxVaR.Rd man/CdfOfSumUsingGaussianCopula.Rd man/CdfOfSumUsingGumbelCopula.Rd man/CdfOfSumUsingProductCopula.Rd man/ChristoffersenBacktestForIndependence.Rd man/ChristoffersenBacktestForUnconditionalCoverage.Rd man/CornishFisherES.Rd man/CornishFisherVaR.Rd man/DBPensionVaR.Rd man/DCPensionVaR.Rd man/DefaultRiskyBondVaR.Rd man/Dowd-package.Rd man/FilterStrategyLogNormalVaR.Rd man/FrechetES.Rd man/FrechetESPlot2DCl.Rd man/FrechetVaR.Rd man/FrechetVaRPlot2DCl.Rd man/GParetoES.Rd man/GParetoMEFPlot.Rd man/GParetoMultipleMEFPlot.Rd man/GParetoVaR.Rd man/GaussianCopulaVaR.Rd man/GumbelCopulaVaR.Rd man/GumbelES.Rd man/GumbelESPlot2DCl.Rd man/GumbelVaR.Rd man/GumbelVaRPlot2DCl.Rd man/HSES.Rd man/HSESDFPerc.Rd man/HSESFigure.Rd man/HSESPlot2DCl.Rd man/HSVaR.Rd man/HSVaRDFPerc.Rd man/HSVaRESPlot2DCl.Rd man/HSVaRFigure.Rd man/HSVaRPlot2DCl.Rd man/HillEstimator.Rd man/HillPlot.Rd man/HillQuantileEstimator.Rd man/InsuranceVaR.Rd man/InsuranceVaRES.Rd man/JarqueBeraBacktest.Rd man/KSTestStat.Rd man/KernelESBoxKernel.Rd man/KernelESEpanechinikovKernel.Rd man/KernelESNormalKernel.Rd man/KernelESTriangleKernel.Rd man/KernelVaRBoxKernel.Rd man/KernelVaREpanechinikovKernel.Rd man/KernelVaRNormalKernel.Rd man/KernelVaRTriangleKernel.Rd man/KuiperTestStat.Rd man/LogNormalES.Rd man/LogNormalESDFPerc.Rd man/LogNormalESFigure.Rd man/LogNormalESPlot2DCL.Rd man/LogNormalESPlot2DHP.Rd man/LogNormalESPlot3D.Rd man/LogNormalVaR.Rd man/LogNormalVaRDFPerc.Rd man/LogNormalVaRETLPlot2DCL.Rd man/LogNormalVaRFigure.Rd man/LogNormalVaRPlot2DCL.Rd man/LogNormalVaRPlot2DHP.Rd man/LogNormalVaRPlot3D.Rd man/LogtES.Rd man/LogtESDFPerc.Rd man/LogtESPlot2DCL.Rd man/LogtESPlot2DHP.Rd man/LogtESPlot3D.Rd man/LogtVaR.Rd man/LogtVaRDFPerc.Rd man/LogtVaRPlot2DCL.Rd man/LogtVaRPlot2DHP.Rd man/LogtVaRPlot3D.Rd man/LongBlackScholesCallVaR.Rd man/LongBlackScholesPutVaR.Rd man/LopezBacktest.Rd man/MEFPlot.Rd man/NormalES.Rd man/NormalESConfidenceInterval.Rd man/NormalESDFPerc.Rd man/NormalESFigure.Rd man/NormalESHotspots.Rd man/NormalESPlot2DCL.Rd man/NormalESPlot2DHP.Rd man/NormalESPlot3D.Rd man/NormalQQPlot.Rd man/NormalQuantileStandardError.Rd man/NormalSpectralRiskMeasure.Rd man/NormalVaR.Rd man/NormalVaRConfidenceInterval.Rd man/NormalVaRDFPerc.Rd man/NormalVaRFigure.Rd man/NormalVaRHotspots.Rd man/NormalVaRPlot2DCL.Rd man/NormalVaRPlot2DHP.Rd man/NormalVaRPlot3D.Rd man/PCAES.Rd man/PCAESPlot.Rd man/PCAPrelim.Rd man/PCAVaR.Rd man/PCAVaRPlot.Rd man/PickandsEstimator.Rd man/PickandsPlot.Rd man/ProductCopulaVaR.Rd man/ShortBlackScholesCallVaR.Rd man/ShortBlackScholesPutVaR.Rd man/StopLossLogNormalVaR.Rd man/TQQPlot.Rd man/VarianceCovarianceES.Rd man/VarianceCovarianceVaR.Rd man/tES.Rd man/tESDFPerc.Rd man/tESFigure.Rd man/tESPlot2DCL.Rd man/tESPlot2DHP.Rd man/tESPlot3D.Rd man/tQuantileStandardError.Rd man/tVaR.Rd man/tVaRDFPerc.Rd man/tVaRESPlot2DCL.Rd man/tVaRFigure.Rd man/tVaRPlot2DCL.Rd man/tVaRPlot2DHP.Rd man/tVaRPlot3D.Rd
tests/testthat.R tests/testthat/testADTestStat.R tests/testthat/testAdjustedNormalVaRHotspots.R tests/testthat/testAdjustedVarianceCovarianceES.R tests/testthat/testAdjustedVarianceCovarianceVaR.R tests/testthat/testBinomialBacktest.R tests/testthat/testBlancoIhleBacktest.R tests/testthat/testCdfOfSumUsingGaussianCopula.R tests/testthat/testCdfOfSumUsingGumbelCopula.R tests/testthat/testCdfOfSumUsingProductCopula.R tests/testthat/testFrechetES.R tests/testthat/testJarqueBeraBacktest.R tests/testthat/testLopezBacktest.R

Questions? Problems? Suggestions? or email at

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

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