KernelVaRBoxKernel: Calculates VaR using box kernel approach
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Description
Usage
Arguments
Value
Author(s)
References
Examples
Description
The output consists of a scalar VaR for specified confidence level.
Usage
1
KernelVaRBoxKernel(Ra, cl, plot = TRUE)
Arguments
Ra
Profit and Loss data set
cl
VaR confidence level
plot
Bool which indicates whether the graph is plotted or not
Value
Scalar VaR
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1
2
3
# VaR for specified confidence level using box kernel approach
Ra <- rnorm(30)
KernelVaRBoxKernel(Ra, .95)
Dowd documentation built on May 2, 2019, 6:15 p.m.
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Description Usage Arguments Value Author(s) References Examples
Description
The output consists of a scalar VaR for specified confidence level.
Usage
1 | KernelVaRBoxKernel(Ra, cl, plot = TRUE)
|
Arguments
Ra |
Profit and Loss data set |
cl |
VaR confidence level |
plot |
Bool which indicates whether the graph is plotted or not |
Value
Scalar VaR
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1 2 3 | # VaR for specified confidence level using box kernel approach
Ra <- rnorm(30)
KernelVaRBoxKernel(Ra, .95)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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