KernelESNormalKernel {Dowd}

Calculates ES using normal kernel approach

Description

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

Usage

KernelESNormalKernel(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

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