Dowd-package {Dowd}

R-version of Kevin Dowd's MATLAB Toolbox from book "Measuring Market Risk".

Description

Dowd Kevin Dowd's book "Measuring Market Risk" gives overview of risk measurement procedures with focus on Value at Risk (VaR) and Expected Shortfall (ES).

Acknowledgments

Without Kevin Dowd's book Measuring Market Risk and accompanying MATLAB toolbox, this project would not have been possible.

Peter Carl and Brian G. Peterson deserve special acknowledgement for mentoring me on this project.

Author(s)

Dinesh Acharya

Maintainer: Dinesh Acharya [e-mail]

References

Dowd, K. Measuring Market Risk. Wiley. 2005.