| R-version of Kevin Dowd's MATLAB Toolbox from book "Measuring Market Risk". | Dowd-package |
| Hotspots for ES adjusted by Cornish-Fisher correction | AdjustedNormalESHotspots |
| Hotspots for VaR adjusted by Cornish-Fisher correction | AdjustedNormalVaRHotspots |
| Cornish-Fisher adjusted Variance-Covariance ES | AdjustedVarianceCovarianceES |
| Cornish-Fisher adjusted variance-covariance VaR | AdjustedVarianceCovarianceVaR |
| Plots cumulative density for AD test and computes confidence interval for AD test stat. | ADTestStat |
| Estimates ES of American vanilla put using binomial tree. | AmericanPutESBinomial |
| Estimates ES of American vanilla put using binomial option valuation tree and Monte Carlo Simulation | AmericanPutESSim |
| Binomial Put Price | AmericanPutPriceBinomial |
| Estimates VaR of American vanilla put using binomial tree. | AmericanPutVaRBinomial |
| Carries out the binomial backtest for a VaR risk measurement model. | BinomialBacktest |
| ES of Black-Scholes call using Monte Carlo Simulation | BlackScholesCallESSim |
| Price of European Call Option | BlackScholesCallPrice |
| ES of Black-Scholes put using Monte Carlo Simulation | BlackScholesPutESSim |
| Price of European Put Option | BlackScholesPutPrice |
| Blanco-Ihle forecast evaluation backtest measure | BlancoIhleBacktest |
| Bootstrapped ES for specified confidence level | BootstrapES |
| Bootstrapped ES Confidence Interval | BootstrapESConfInterval |
| Plots figure of bootstrapped ES | BootstrapESFigure |
| Bootstrapped VaR for specified confidence level | BootstrapVaR |
| Bootstrapped VaR Confidence Interval | BootstrapVaRConfInterval |
| Plots figure of bootstrapped VaR | BootstrapVaRFigure |
| Estimates ES with Box-Cox transformation | BoxCoxES |
| Estimates VaR with Box-Cox transformation | BoxCoxVaR |
| Derives prob ( X + Y < quantile) using Gaussian copula | CdfOfSumUsingGaussianCopula |
| Derives prob ( X + Y < quantile) using Gumbel copula | CdfOfSumUsingGumbelCopula |
| Derives prob ( X + Y < quantile) using Product copula | CdfOfSumUsingProductCopula |
| Christoffersen Backtest for Independence | ChristoffersenBacktestForIndependence |
| Christoffersen Backtest for Unconditional Coverage | ChristoffersenBacktestForUnconditionalCoverage |
| Corn-Fisher ES | CornishFisherES |
| Corn-Fisher VaR | CornishFisherVaR |
| Monte Carlo VaR for DB pension | DBPensionVaR |
| Monte Carlo VaR for DC pension | DCPensionVaR |
| VaR for default risky bond portfolio | DefaultRiskyBondVaR |
| Log Normal VaR with filter strategy | FilterStrategyLogNormalVaR |
| Frechet Expected Shortfall | FrechetES |
| Plots Frechet Expected Shortfall against confidence level | FrechetESPlot2DCl |
| Frechet Value at Risk | FrechetVaR |
| Plots Frechet Value at Risk against Cl | FrechetVaRPlot2DCl |
| Bivariate Gaussian Copule VaR | GaussianCopulaVaR |
| Expected Shortfall for Generalized Pareto | GParetoES |
| Plot of Emperical and Generalised Pareto mean excess functions | GParetoMEFPlot |
| Plot of Emperical and 2 Generalised Pareto mean excess functions | GParetoMultipleMEFPlot |
| VaR for Generalized Pareto | GParetoVaR |
| Bivariate Gumbel Copule VaR | GumbelCopulaVaR |
| Gumbel ES | GumbelES |
| Gumbel VaR | GumbelESPlot2DCl |
| Gumbel VaR | GumbelVaR |
| Gumbel VaR | GumbelVaRPlot2DCl |
| Hill Estimator | HillEstimator |
| Hill Plot | HillPlot |
| Hill Quantile Estimator | HillQuantileEstimator |
| Expected Shortfall of a portfolio using Historical Estimator | HSES |
| Percentile of historical simulation ES distribution function | HSESDFPerc |
| Figure of Historical SImulation VaR and ES and histogram of L/P | HSESFigure |
| Plots historical simulation ES against confidence level | HSESPlot2DCl |
| Value at Risk of a portfolio using Historical Estimator | HSVaR |
| Percentile of historical simulation VaR distribution function | HSVaRDFPerc |
| Plots historical simulation VaR and ES against confidence level | HSVaRESPlot2DCl |
| Figure of Historical SImulation VaR and histogram of L/P | HSVaRFigure |
| Plots historical simulation VaR against confidence level | HSVaRPlot2DCl |
| VaR of Insurance Portfolio | InsuranceVaR |
| VaR and ES of Insurance Portfolio | InsuranceVaRES |
| Jarque-Bera backtest for normality. | JarqueBeraBacktest |
| Calculates ES using box kernel approach | KernelESBoxKernel |
| Calculates ES using Epanechinikov kernel approach | KernelESEpanechinikovKernel |
| Calculates ES using normal kernel approach | KernelESNormalKernel |
| Calculates ES using triangle kernel approach | KernelESTriangleKernel |
| Calculates VaR using box kernel approach | KernelVaRBoxKernel |
| Calculates VaR using epanechinikov kernel approach | KernelVaREpanechinikovKernel |
| Calculates VaR using normal kernel approach | KernelVaRNormalKernel |
| Calculates VaR using triangle kernel approach | KernelVaRTriangleKernel |
| Plots cumulative density for KS test and computes confidence interval for KS test stat. | KSTestStat |
| Plots cummulative density for Kuiper test and computes confidence interval for Kuiper test stat. | KuiperTestStat |
| ES for normally distributed geometric returns | LogNormalES |
| Percentiles of ES distribution function for normally distributed geometric returns | LogNormalESDFPerc |
| Figure of lognormal VaR and ES and pdf against L/P | LogNormalESFigure |
| Plots log normal ES against confidence level | LogNormalESPlot2DCL |
| Plots log normal ES against holding period | LogNormalESPlot2DHP |
| Plots log normal ES against confidence level and holding period | LogNormalESPlot3D |
| VaR for normally distributed geometric returns | LogNormalVaR |
| Percentiles of VaR distribution function for normally distributed geometric returns | LogNormalVaRDFPerc |
| Plots log normal VaR and ETL against confidence level | LogNormalVaRETLPlot2DCL |
| Figure of lognormal VaR and pdf against L/P | LogNormalVaRFigure |
| Plots log normal VaR against confidence level | LogNormalVaRPlot2DCL |
| Plots log normal VaR against holding period | LogNormalVaRPlot2DHP |
| Plots log normal VaR against confidence level and holding period | LogNormalVaRPlot3D |
| ES for t distributed geometric returns | LogtES |
| Percentiles of ES distribution function for Student-t | LogtESDFPerc |
| Plots log-t ES against confidence level | LogtESPlot2DCL |
| Plots log-t ES against holding period | LogtESPlot2DHP |
| Plots log-t ES against confidence level and holding period | LogtESPlot3D |
| VaR for t distributed geometric returns | LogtVaR |
| Percentiles of VaR distribution function for Student-t | LogtVaRDFPerc |
| Plots log-t VaR against confidence level | LogtVaRPlot2DCL |
| Plots log-t VaR against holding period | LogtVaRPlot2DHP |
| Plots log-t VaR against confidence level and holding period | LogtVaRPlot3D |
| Derives VaR of a long Black Scholes call option | LongBlackScholesCallVaR |
| Derives VaR of a long Black Scholes put option | LongBlackScholesPutVaR |
| First (binomial) Lopez forecast evaluation backtest score measure | LopezBacktest |
| Mean Excess Function Plot | MEFPlot |
| ES for normally distributed P/L | NormalES |
| Generates Monte Carlo 95% Confidence Intervals for normal ES | NormalESConfidenceInterval |
| Percentiles of ES distribution function for normally distributed P/L data | NormalESDFPerc |
| Figure of normal VaR and ES and pdf against L/P | NormalESFigure |
| Hotspots for normal ES | NormalESHotspots |
| Plots normal ES against confidence level | NormalESPlot2DCL |
| Plots normal ES against holding period | NormalESPlot2DHP |
| Plots normal ES against confidence level and holding period | NormalESPlot3D |
| Normal Quantile Quantile Plot | NormalQQPlot |
| Standard error of normal quantile estimate | NormalQuantileStandardError |
| Estimates the spectral risk measure of a portfolio | NormalSpectralRiskMeasure |
| VaR for normally distributed P/L | NormalVaR |
| Generates Monte Carlo 95% Confidence Intervals for normal VaR | NormalVaRConfidenceInterval |
| Percentiles of VaR distribution function for normally distributed P/L | NormalVaRDFPerc |
| Figure of normal VaR and pdf against L/P | NormalVaRFigure |
| Hotspots for normal VaR | NormalVaRHotspots |
| Plots normal VaR against confidence level | NormalVaRPlot2DCL |
| Plots normal VaR against holding period | NormalVaRPlot2DHP |
| Plots normal VaR in 3D against confidence level and holding period | NormalVaRPlot3D |
| Estimates ES by principal components analysis | PCAES |
| ES plot | PCAESPlot |
| Estimates VaR plot using principal components analysis | PCAPrelim |
| Estimates VaR by principal components analysis | PCAVaR |
| VaR plot | PCAVaRPlot |
| Pickands Estimator | PickandsEstimator |
| Pickand Estimator - Tail Sample Size Plot | PickandsPlot |
| Bivariate Product Copule VaR | ProductCopulaVaR |
| Derives VaR of a short Black Scholes call option | ShortBlackScholesCallVaR |
| Derives VaR of a short Black Scholes put option | ShortBlackScholesPutVaR |
| Log Normal VaR with stop loss limit | StopLossLogNormalVaR |
| ES for t distributed P/L | tES |
| Percentiles of ES distribution function for t-distributed P/L | tESDFPerc |
| Figure of t - VaR and ES and pdf against L/P | tESFigure |
| Plots t- ES against confidence level | tESPlot2DCL |
| Plots t ES against holding period | tESPlot2DHP |
| Plots t ES against confidence level and holding period | tESPlot3D |
| Student's T Quantile - Quantile Plot | TQQPlot |
| Standard error of t quantile estimate | tQuantileStandardError |
| VaR for t distributed P/L | tVaR |
| Percentiles of VaR distribution function | tVaRDFPerc |
| Plots t VaR and ES against confidence level | tVaRESPlot2DCL |
| Figure of t- VaR and pdf against L/P | tVaRFigure |
| Plots t VaR against confidence level | tVaRPlot2DCL |
| Plots t VaR against holding period | tVaRPlot2DHP |
| Plots t VaR against confidence level and holding period | tVaRPlot3D |
| Variance-covariance ES for normally distributed returns | VarianceCovarianceES |
| Variance-covariance VaR for normally distributed returns | VarianceCovarianceVaR |
