KernelVaRBoxKernel {Dowd}

Calculates VaR using box kernel approach

Description

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

Usage

KernelVaRBoxKernel(Ra, cl, plot = TRUE)

Arguments

Ra

Profit and Loss data set

cl

VaR confidence level

plot

Bool which indicates whether the graph is plotted or not

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)
   KernelVaRBoxKernel(Ra, .95)