KernelESBoxKernel {Dowd}R Documentation

Calculates ES using box kernel approach

Description

The output consists of a scalar ES for specified confidence level.

Usage

KernelESBoxKernel(Ra, cl)

Arguments

Ra

Profit and Loss data set

cl

VaR confidence level

Value

Scalar VaR

Author(s)

Dinesh Acharya

References

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

Examples

# VaR for specified confidence level using box kernel approach
   Ra <- rnorm(30)
   KernelESBoxKernel(Ra, .95)

[Package Dowd version 0.12 Index]