KernelESEpanechinikovKernel {Dowd}

Calculates ES using Epanechinikov kernel approach

Description

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

Usage

KernelESEpanechinikovKernel(Ra, cl, plot = TRUE)

Arguments

Ra

Profit and Loss data set

cl

ES confidence level

plot

Bool, plots cdf if true

Value

Scalar ES

Author(s)

Dinesh Acharya

References

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

Examples

# ES for specified confidence level using Epanechinikov kernel approach
   Ra <- rnorm(30)
   KernelESEpanechinikovKernel(Ra, .95)