Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's
Book Measuring Market Risk
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Documentation for package ‘Dowd’ version 0.12
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A B C D F G H I J K L M N P S T V
| Dowd-package | R-version of Kevin Dowd's MATLAB Toolbox from book "Measuring Market Risk". |
-- A --
| 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 interval for AD test stat. |
| AmericanPutESBinomial | Estimates ES of American vanilla put using binomial tree. |
| AmericanPutESSim | Estimates ES of American vanilla put using binomial option valuation tree and Monte Carlo Simulation |
| AmericanPutPriceBinomial | Binomial Put Price |
| AmericanPutVaRBinomial | Estimates VaR of American vanilla put using binomial tree. |
-- B --
| BinomialBacktest | Carries out the binomial backtest for a VaR risk measurement model. |
| 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 |
-- C --
| 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 |
-- D --
| DBPensionVaR | Monte Carlo VaR for DB pension |
| DCPensionVaR | Monte Carlo VaR for DC pension |
| DefaultRiskyBondVaR | VaR for default risky bond portfolio |
-- F --
| 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 |
-- G --
| GaussianCopulaVaR | Bivariate Gaussian Copule VaR |
| GParetoES | Expected Shortfall for Generalized Pareto |
| GParetoMEFPlot | Plot of Emperical and Generalised Pareto mean excess functions |
| GParetoMultipleMEFPlot | Plot of Emperical and 2 Generalised Pareto mean excess functions |
| GParetoVaR | VaR for Generalized Pareto |
| GumbelCopulaVaR | Bivariate Gumbel Copule VaR |
| GumbelES | Gumbel ES |
| GumbelESPlot2DCl | Gumbel VaR |
| GumbelVaR | Gumbel VaR |
| GumbelVaRPlot2DCl | Gumbel VaR |
-- H --
| 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 L/P |
| 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 level |
| HSVaRFigure | Figure of Historical SImulation VaR and histogram of L/P |
| HSVaRPlot2DCl | Plots historical simulation VaR against confidence level |
-- I --
| InsuranceVaR | VaR of Insurance Portfolio |
| InsuranceVaRES | VaR and ES of Insurance Portfolio |
-- J --
| JarqueBeraBacktest | Jarque-Bera backtest for normality. |
-- K --
| 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 interval for KS test stat. |
| KuiperTestStat | Plots cummulative density for Kuiper test and computes confidence interval for Kuiper test stat. |
-- L --
| LogNormalES | ES for normally distributed geometric returns |
| LogNormalESDFPerc | Percentiles of ES distribution function for normally distributed geometric returns |
| 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 period |
| LogNormalVaR | VaR for normally distributed geometric returns |
| LogNormalVaRDFPerc | Percentiles of VaR distribution function for normally distributed geometric returns |
| 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 period |
| 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 measure |
-- M --
| MEFPlot | Mean Excess Function Plot |
-- N --
| 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 distributed P/L data |
| 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 distributed P/L |
| 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 period |
-- P --
| 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 |
-- S --
| 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 |
-- T --
| 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 |
-- V --
| VarianceCovarianceES | Variance-covariance ES for normally distributed returns |
| VarianceCovarianceVaR | Variance-covariance VaR for normally distributed returns |