BoxCoxES: Estimates ES with Box-Cox transformation

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

Description

Function estimates the ES of a portfolio assuming P and L data set transformed using the BoxCox transformation to make it as near normal as possible, for specified confidence level and holding period implied by data frequency.

Usage

BoxCoxES(loss.data, cl)

Arguments

loss.data	Daily Profit/Loss data
cl	Confidence Level. It can be a scalar or a vector.

Value

Estimated Box-Cox ES. Its dimension is same as that of cl

Author(s)

Dinesh Acharya

References

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

Hamilton, S. A. and Taylor, M. G. A Comparision of the Box-Cox transformation method and nonparametric methods for estimating quantiles in clinical data with repeated measures. J. Statist. Comput. Simul., vol. 45, 1993, pp. 185 - 201.

Examples

# Estimates Box-Cox VaR
   a<-rnorm(200)
   BoxCoxES(a,.95)

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