KernelVaRTriangleKernel {Dowd}

Calculates VaR using triangle kernel approach

Description

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

Usage

KernelVaRTriangleKernel(Ra, cl, plot = TRUE)

Arguments

Ra

Profit and Loss data set

cl

VaR confidence level

plot

Bool, plots cdf if true.

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)
   KernelVaRTriangleKernel(Ra, .95)