KernelESTriangleKernel {Dowd}

Calculates ES using triangle kernel approach

Description

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

Usage

KernelESTriangleKernel(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 triangle kernel approach
   Ra <- rnorm(30)
   KernelESTriangleKernel(Ra, .95)