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]