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

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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.

Author
Dinesh Acharya <dines.acharya@gmail.com>
Date of publication
2015-11-18 09:47:25
Maintainer
Dinesh Acharya <dines.acharya@gmail.com>
License
GPL
Version
0.11

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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

Files in this package

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