BootstrapES: Bootstrapped ES for specified confidence level
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Estimates the bootstrapped ES for confidence level and holding period implied by data frequency.

1	BootstrapES(Ra, number.resamples, cl)

`Ra`	Vector corresponding to profit and loss distribution
`number.resamples`	Number of samples to be taken in bootstrap procedure
`cl`	Number corresponding to Expected Shortfall confidence level

Bootstrapped Expected Shortfall

Dinesh Acharya

Dowd, K. Measuring Market Risk, Wiley, 2007.

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# Estimates bootstrapped ES for given parameters
   a <- rnorm(100) # generate a random profit/loss vector
   BootstrapVaR(a, 50, 0.95)

Dowd documentation built on May 2, 2019, 6:15 p.m.

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