{ "_id": "6a1038b0acfb0bcc41c9ab8c", "Package": "Dowd", "Type": "Package", "Title": "Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's\nBook Measuring Market Risk", "Version": "0.12", "Date": "2015-08-20", "Author": "Dinesh Acharya ", "Maintainer": "Dinesh Acharya ", "Description": "'Kevin Dowd's' book Measuring Market Risk is a widely read\nbook in the area of risk measurement by students and\npractitioners alike. As he claims, 'MATLAB' indeed might have\nbeen the most suitable language when he originally wrote the\nfunctions, but, with growing popularity of R it is not entirely\nvalid. As 'Dowd's' code was not intended to be error free and\nwere mainly for reference, some functions in this package have\ninherited those errors. An attempt will be made in future\nreleases to identify and correct them. 'Dowd's' original code\ncan be downloaded from\nwww.kevindowd.org/measuring-market-risk/. It should be noted\nthat 'Dowd' offers both 'MMR2' and 'MMR1' toolboxes. Only\n'MMR2' was ported to R. 'MMR2' is more recent version of 'MMR1'\ntoolbox and they both have mostly similar function. The toolbox\nmainly contains different parametric and non parametric methods\nfor measurement of market risk as well as backtesting risk\nmeasurement methods.", "License": "GPL", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-12 05:53:21 UTC", "User": "root" }, "Repository": "https://d-acharya.r-universe.dev", "Date/Publication": "2016-03-11 00:45:03 UTC", "RemoteUrl": "https://github.com/d-acharya/dowd", "RemoteRef": "HEAD", "RemoteSha": "e34fa92b867b1797cc3418faf39bb9172f2e55db", "MD5sum": "3f44a47ad29b2dcb2db77dd509630a50", "_user": "d-acharya", "_type": "src", "_file": "Dowd_0.12.tar.gz", "_fileid": "a74a35ec030852ac23285d11d19f7812b82f66511131bccc1634f14e3b5775c6", "_filesize": 502029, "_sha256": "a74a35ec030852ac23285d11d19f7812b82f66511131bccc1634f14e3b5775c6", "_created": "2026-05-12T05:53:21.000Z", "_published": "2026-05-22T11:06:24.750Z", "_distro": "noble", "_jobs": [ { "job": 77367269014, "time": 162, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", 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"KernelESEpanechinikovKernel", "KernelESNormalKernel", "KernelESTriangleKernel", "KernelVaRBoxKernel", "KernelVaREpanechinikovKernel", "KernelVaRNormalKernel", "KernelVaRTriangleKernel", "KSTestStat", "KuiperTestStat", "LogNormalES", "LogNormalESDFPerc", "LogNormalESFigure", "LogNormalESPlot2DCL", "LogNormalESPlot2DHP", "LogNormalESPlot3D", "LogNormalVaR", "LogNormalVaRDFPerc", "LogNormalVaRETLPlot2DCL", "LogNormalVaRFigure", "LogNormalVaRPlot2DCL", "LogNormalVaRPlot2DHP", "LogNormalVaRPlot3D", "LogtES", "LogtESDFPerc", "LogtESPlot2DCL", "LogtESPlot2DHP", "LogtESPlot3D", "LogtVaR", "LogtVaRDFPerc", "LogtVaRPlot2DCL", "LogtVaRPlot2DHP", "LogtVaRPlot3D", "LongBlackScholesCallVaR", "LongBlackScholesPutVaR", "LopezBacktest", "MEFPlot", "NormalES", "NormalESConfidenceInterval", "NormalESDFPerc", "NormalESFigure", "NormalESHotspots", "NormalESPlot2DCL", "NormalESPlot2DHP", "NormalESPlot3D", "NormalQQPlot", "NormalQuantileStandardError", "NormalSpectralRiskMeasure", "NormalVaR", "NormalVaRConfidenceInterval", "NormalVaRDFPerc", "NormalVaRFigure", "NormalVaRHotspots", "NormalVaRPlot2DCL", "NormalVaRPlot2DHP", "NormalVaRPlot3D", "PCAES", "PCAESPlot", "PCAPrelim", "PCAVaR", "PCAVaRPlot", "PickandsEstimator", "PickandsPlot", "ProductCopulaVaR", "ShortBlackScholesCallVaR", "ShortBlackScholesPutVaR", "StopLossLogNormalVaR", "tES", "tESDFPerc", "tESFigure", "tESPlot2DCL", "tESPlot2DHP", "tESPlot3D", "TQQPlot", "tQuantileStandardError", "tVaR", "tVaRDFPerc", "tVaRESPlot2DCL", "tVaRFigure", "tVaRPlot2DCL", "tVaRPlot2DHP", "tVaRPlot3D", "VarianceCovarianceES", "VarianceCovarianceVaR" ], "_help": [ { "page": "Dowd-package", "title": "R-version of Kevin Dowd's MATLAB Toolbox from book \"Measuring Market Risk\".", "topics": [ "Dowd-package" ] }, { "page": "AdjustedNormalESHotspots", "title": "Hotspots for ES adjusted by Cornish-Fisher correction", "topics": [ "AdjustedNormalESHotspots" ] }, { "page": "AdjustedNormalVaRHotspots", "title": "Hotspots for VaR adjusted by Cornish-Fisher correction", "topics": [ "AdjustedNormalVaRHotspots" ] }, { "page": "AdjustedVarianceCovarianceES", "title": "Cornish-Fisher adjusted Variance-Covariance ES", "topics": [ "AdjustedVarianceCovarianceES" ] }, { "page": "AdjustedVarianceCovarianceVaR", "title": "Cornish-Fisher adjusted variance-covariance VaR", "topics": [ "AdjustedVarianceCovarianceVaR" ] }, { "page": "ADTestStat", "title": "Plots cumulative density for AD test and computes confidence interval for AD test stat.", "topics": [ "ADTestStat" ] }, { "page": "AmericanPutESBinomial", "title": "Estimates ES of American vanilla put using binomial tree.", "topics": [ "AmericanPutESBinomial" ] }, { "page": "AmericanPutESSim", "title": "Estimates ES of American vanilla put using binomial option valuation tree and Monte Carlo Simulation", "topics": [ "AmericanPutESSim" ] }, { "page": "AmericanPutPriceBinomial", "title": "Binomial Put Price", "topics": [ "AmericanPutPriceBinomial" ] }, { "page": "AmericanPutVaRBinomial", "title": "Estimates VaR of American vanilla put using binomial tree.", "topics": [ "AmericanPutVaRBinomial" ] }, { "page": "BinomialBacktest", "title": "Carries out the binomial backtest for a VaR risk measurement model.", "topics": [ "BinomialBacktest" ] }, { "page": "BlackScholesCallESSim", "title": "ES of Black-Scholes call using Monte Carlo Simulation", "topics": [ "BlackScholesCallESSim" ] }, { "page": "BlackScholesCallPrice", "title": "Price of European Call Option", "topics": [ "BlackScholesCallPrice" ] }, { "page": "BlackScholesPutESSim", "title": "ES of Black-Scholes put using Monte Carlo Simulation", "topics": [ "BlackScholesPutESSim" ] }, { "page": "BlackScholesPutPrice", "title": "Price of European Put Option", "topics": [ "BlackScholesPutPrice" ] }, { "page": "BlancoIhleBacktest", "title": "Blanco-Ihle forecast evaluation backtest measure", "topics": [ "BlancoIhleBacktest" ] }, { "page": "BootstrapES", "title": "Bootstrapped ES for specified confidence level", "topics": [ "BootstrapES" ] }, { "page": "BootstrapESConfInterval", "title": "Bootstrapped ES Confidence Interval", "topics": [ "BootstrapESConfInterval" ] }, { "page": "BootstrapESFigure", "title": "Plots figure of bootstrapped ES", "topics": [ "BootstrapESFigure" ] }, { "page": "BootstrapVaR", "title": "Bootstrapped VaR for specified confidence level", "topics": [ "BootstrapVaR" ] }, { "page": "BootstrapVaRConfInterval", "title": "Bootstrapped VaR Confidence Interval", "topics": [ "BootstrapVaRConfInterval" ] }, { "page": "BootstrapVaRFigure", "title": "Plots figure of bootstrapped VaR", "topics": [ "BootstrapVaRFigure" ] }, { "page": "BoxCoxES", "title": "Estimates ES with Box-Cox transformation", "topics": [ "BoxCoxES" ] }, { "page": "BoxCoxVaR", "title": "Estimates VaR with Box-Cox transformation", "topics": [ "BoxCoxVaR" ] }, { "page": "CdfOfSumUsingGaussianCopula", "title": "Derives prob ( X + Y < quantile) using Gaussian copula", "topics": [ "CdfOfSumUsingGaussianCopula" ] }, { "page": "CdfOfSumUsingGumbelCopula", "title": "Derives prob ( X + Y < quantile) using Gumbel copula", "topics": [ "CdfOfSumUsingGumbelCopula" ] }, { "page": "CdfOfSumUsingProductCopula", "title": "Derives prob ( X + Y < quantile) using Product copula", "topics": [ "CdfOfSumUsingProductCopula" ] }, { "page": "ChristoffersenBacktestForIndependence", "title": "Christoffersen Backtest for Independence", "topics": [ "ChristoffersenBacktestForIndependence" ] }, { "page": "ChristoffersenBacktestForUnconditionalCoverage", "title": "Christoffersen Backtest for Unconditional Coverage", "topics": [ "ChristoffersenBacktestForUnconditionalCoverage" ] }, { "page": "CornishFisherES", "title": "Corn-Fisher ES", "topics": [ "CornishFisherES" ] }, { "page": "CornishFisherVaR", "title": "Corn-Fisher VaR", "topics": [ "CornishFisherVaR" ] }, { "page": "DBPensionVaR", "title": "Monte Carlo VaR for DB pension", "topics": [ "DBPensionVaR" ] }, { "page": "DCPensionVaR", "title": "Monte Carlo VaR for DC pension", "topics": [ "DCPensionVaR" ] }, { "page": "DefaultRiskyBondVaR", "title": "VaR for default risky bond portfolio", "topics": [ "DefaultRiskyBondVaR" ] }, { "page": "FilterStrategyLogNormalVaR", "title": "Log Normal VaR with filter strategy", "topics": [ "FilterStrategyLogNormalVaR" ] }, { "page": "FrechetES", "title": "Frechet Expected Shortfall", "topics": [ "FrechetES" ] }, { "page": "FrechetESPlot2DCl", "title": "Plots Frechet Expected Shortfall against confidence level", "topics": [ "FrechetESPlot2DCl" ] }, { "page": "FrechetVaR", "title": "Frechet Value at Risk", "topics": [ "FrechetVaR" ] }, { "page": "FrechetVaRPlot2DCl", "title": "Plots Frechet Value at Risk against Cl", "topics": [ "FrechetVaRPlot2DCl" ] }, { "page": "GaussianCopulaVaR", "title": "Bivariate Gaussian Copule VaR", "topics": [ "GaussianCopulaVaR" ] }, { "page": "GParetoES", "title": "Expected Shortfall for Generalized Pareto", "topics": [ "GParetoES" ] }, { "page": "GParetoMEFPlot", "title": "Plot of Emperical and Generalised Pareto mean excess functions", "topics": [ "GParetoMEFPlot" ] }, { "page": "GParetoMultipleMEFPlot", "title": "Plot of Emperical and 2 Generalised Pareto mean excess functions", "topics": [ "GParetoMultipleMEFPlot" ] }, { "page": "GParetoVaR", "title": "VaR for Generalized Pareto", "topics": [ "GParetoVaR" ] }, { "page": "GumbelCopulaVaR", "title": "Bivariate Gumbel Copule VaR", "topics": [ "GumbelCopulaVaR" ] }, { "page": "GumbelES", "title": "Gumbel ES", "topics": [ "GumbelES" ] }, { "page": "GumbelESPlot2DCl", "title": "Gumbel VaR", "topics": [ "GumbelESPlot2DCl" ] }, { "page": "GumbelVaR", "title": "Gumbel VaR", "topics": [ "GumbelVaR" ] }, { "page": "GumbelVaRPlot2DCl", "title": "Gumbel VaR", "topics": [ "GumbelVaRPlot2DCl" ] }, { "page": "HillEstimator", "title": "Hill Estimator", "topics": [ "HillEstimator" ] }, { "page": "HillPlot", "title": "Hill Plot", "topics": [ "HillPlot" ] }, { "page": "HillQuantileEstimator", "title": "Hill Quantile Estimator", "topics": [ "HillQuantileEstimator" ] }, { "page": "HSES", "title": "Expected Shortfall of a portfolio using Historical Estimator", "topics": [ "HSES" ] }, { "page": "HSESDFPerc", "title": "Percentile of historical simulation ES distribution function", "topics": [ "HSESDFPerc" ] }, { "page": "HSESFigure", "title": "Figure of Historical SImulation VaR and ES and histogram of L/P", "topics": [ "HSESFigure" ] }, { "page": "HSESPlot2DCl", "title": "Plots historical simulation ES against confidence level", "topics": [ "HSESPlot2DCl" ] }, { "page": "HSVaR", "title": "Value at Risk of a portfolio using Historical Estimator", "topics": [ "HSVaR" ] }, { "page": "HSVaRDFPerc", "title": "Percentile of historical simulation VaR distribution function", "topics": [ "HSVaRDFPerc" ] }, { "page": "HSVaRESPlot2DCl", "title": "Plots historical simulation VaR and ES against confidence level", "topics": [ "HSVaRESPlot2DCl" ] }, { "page": "HSVaRFigure", "title": "Figure of Historical SImulation VaR and histogram of L/P", "topics": [ "HSVaRFigure" ] }, { "page": "HSVaRPlot2DCl", "title": "Plots historical simulation VaR against confidence level", "topics": [ "HSVaRPlot2DCl" ] }, { "page": "InsuranceVaR", "title": "VaR of Insurance Portfolio", "topics": [ "InsuranceVaR" ] }, { "page": "InsuranceVaRES", "title": "VaR and ES of Insurance Portfolio", "topics": [ "InsuranceVaRES" ] }, { "page": "JarqueBeraBacktest", "title": "Jarque-Bera backtest for normality.", "topics": [ "JarqueBeraBacktest" ] }, { "page": "KernelESBoxKernel", "title": "Calculates ES using box kernel approach", "topics": [ "KernelESBoxKernel" ] }, { "page": "KernelESEpanechinikovKernel", "title": "Calculates ES using Epanechinikov kernel approach", "topics": [ "KernelESEpanechinikovKernel" ] }, { "page": "KernelESNormalKernel", "title": "Calculates ES using normal kernel approach", "topics": [ "KernelESNormalKernel" ] }, { "page": "KernelESTriangleKernel", "title": "Calculates ES using triangle kernel approach", "topics": [ "KernelESTriangleKernel" ] }, { "page": "KernelVaRBoxKernel", "title": "Calculates VaR using box kernel approach", "topics": [ "KernelVaRBoxKernel" ] }, { "page": "KernelVaREpanechinikovKernel", "title": "Calculates VaR using epanechinikov kernel approach", "topics": [ "KernelVaREpanechinikovKernel" ] }, { "page": "KernelVaRNormalKernel", "title": "Calculates VaR using normal kernel approach", "topics": [ "KernelVaRNormalKernel" ] }, { "page": "KernelVaRTriangleKernel", "title": "Calculates VaR using triangle kernel approach", "topics": [ "KernelVaRTriangleKernel" ] }, { "page": "KSTestStat", "title": "Plots cumulative density for KS test and computes confidence interval for KS test stat.", "topics": [ "KSTestStat" ] }, { "page": "KuiperTestStat", "title": "Plots cummulative density for Kuiper test and computes confidence interval for Kuiper test stat.", "topics": [ "KuiperTestStat" ] }, { "page": "LogNormalES", "title": "ES for normally distributed geometric returns", "topics": [ "LogNormalES" ] }, { "page": "LogNormalESDFPerc", "title": "Percentiles of ES distribution function for normally distributed geometric returns", "topics": [ "LogNormalESDFPerc" ] }, { "page": "LogNormalESFigure", "title": "Figure of lognormal VaR and ES and pdf against L/P", "topics": [ "LogNormalESFigure" ] }, { "page": "LogNormalESPlot2DCL", "title": "Plots log normal ES against confidence level", "topics": [ "LogNormalESPlot2DCL" ] }, { "page": "LogNormalESPlot2DHP", "title": "Plots log normal ES against holding period", "topics": [ "LogNormalESPlot2DHP" ] }, { "page": "LogNormalESPlot3D", "title": "Plots log normal ES against confidence level and holding period", "topics": [ "LogNormalESPlot3D" ] }, { "page": "LogNormalVaR", "title": "VaR for normally distributed geometric returns", "topics": [ "LogNormalVaR" ] }, { "page": "LogNormalVaRDFPerc", "title": "Percentiles of VaR distribution function for normally distributed geometric returns", "topics": [ "LogNormalVaRDFPerc" ] }, { "page": "LogNormalVaRETLPlot2DCL", "title": "Plots log normal VaR and ETL against confidence level", "topics": [ "LogNormalVaRETLPlot2DCL" ] }, { "page": "LogNormalVaRFigure", "title": "Figure of lognormal VaR and pdf against L/P", "topics": [ "LogNormalVaRFigure" ] }, { "page": "LogNormalVaRPlot2DCL", "title": "Plots log normal VaR against confidence level", "topics": [ "LogNormalVaRPlot2DCL" ] }, { "page": "LogNormalVaRPlot2DHP", "title": "Plots log normal VaR against holding period", "topics": [ "LogNormalVaRPlot2DHP" ] }, { "page": "LogNormalVaRPlot3D", "title": "Plots log normal VaR against confidence level and holding period", "topics": [ "LogNormalVaRPlot3D" ] }, { "page": "LogtES", "title": "ES for t distributed geometric returns", "topics": [ "LogtES" ] }, { "page": "LogtESDFPerc", "title": "Percentiles of ES distribution function for Student-t", "topics": [ "LogtESDFPerc" ] }, { "page": "LogtESPlot2DCL", "title": "Plots log-t ES against confidence level", "topics": [ "LogtESPlot2DCL" ] }, { "page": "LogtESPlot2DHP", "title": "Plots log-t ES against holding period", "topics": [ "LogtESPlot2DHP" ] }, { "page": "LogtESPlot3D", "title": "Plots log-t ES against confidence level and holding period", "topics": [ "LogtESPlot3D" ] }, { "page": "LogtVaR", "title": "VaR for t distributed geometric returns", "topics": [ "LogtVaR" ] }, { "page": "LogtVaRDFPerc", "title": "Percentiles of VaR distribution function for Student-t", "topics": [ "LogtVaRDFPerc" ] }, { "page": "LogtVaRPlot2DCL", "title": "Plots log-t VaR against confidence level", "topics": [ "LogtVaRPlot2DCL" ] }, { "page": "LogtVaRPlot2DHP", "title": "Plots log-t VaR against holding period", "topics": [ "LogtVaRPlot2DHP" ] }, { "page": "LogtVaRPlot3D", "title": "Plots log-t VaR against confidence level and holding period", "topics": [ "LogtVaRPlot3D" ] }, { "page": "LongBlackScholesCallVaR", "title": "Derives VaR of a long Black Scholes call option", "topics": [ "LongBlackScholesCallVaR" ] }, { "page": "LongBlackScholesPutVaR", "title": "Derives VaR of a long Black Scholes put option", "topics": [ "LongBlackScholesPutVaR" ] }, { "page": "LopezBacktest", "title": "First (binomial) Lopez forecast evaluation backtest score measure", "topics": [ "LopezBacktest" ] }, { "page": "MEFPlot", "title": "Mean Excess Function Plot", "topics": [ "MEFPlot" ] }, { "page": "NormalES", "title": "ES for normally distributed P/L", "topics": [ "NormalES" ] }, { "page": "NormalESConfidenceInterval", "title": "Generates Monte Carlo 95% Confidence Intervals for normal ES", "topics": [ "NormalESConfidenceInterval" ] }, { "page": "NormalESDFPerc", "title": "Percentiles of ES distribution function for normally distributed P/L data", "topics": [ "NormalESDFPerc" ] }, { "page": "NormalESFigure", "title": "Figure of normal VaR and ES and pdf against L/P", "topics": [ "NormalESFigure" ] }, { "page": "NormalESHotspots", "title": "Hotspots for normal ES", "topics": [ "NormalESHotspots" ] }, { "page": "NormalESPlot2DCL", "title": "Plots normal ES against confidence level", "topics": [ "NormalESPlot2DCL" ] }, { "page": "NormalESPlot2DHP", "title": "Plots normal ES against holding period", "topics": [ "NormalESPlot2DHP" ] }, { "page": "NormalESPlot3D", "title": "Plots normal ES against confidence level and holding period", "topics": [ "NormalESPlot3D" ] }, { "page": "NormalQQPlot", "title": "Normal Quantile Quantile Plot", "topics": [ "NormalQQPlot" ] }, { "page": "NormalQuantileStandardError", "title": "Standard error of normal quantile estimate", "topics": [ "NormalQuantileStandardError" ] }, { "page": "NormalSpectralRiskMeasure", "title": "Estimates the spectral risk measure of a portfolio", "topics": [ "NormalSpectralRiskMeasure" ] }, { "page": "NormalVaR", "title": "VaR for normally distributed P/L", "topics": [ "NormalVaR" ] }, { "page": "NormalVaRConfidenceInterval", "title": "Generates Monte Carlo 95% Confidence Intervals for normal VaR", "topics": [ "NormalVaRConfidenceInterval" ] }, { "page": "NormalVaRDFPerc", "title": "Percentiles of VaR distribution function for normally distributed P/L", "topics": [ "NormalVaRDFPerc" ] }, { "page": "NormalVaRFigure", "title": "Figure of normal VaR and pdf against L/P", "topics": [ "NormalVaRFigure" ] }, { "page": "NormalVaRHotspots", "title": "Hotspots for normal VaR", "topics": [ "NormalVaRHotspots" ] }, { "page": "NormalVaRPlot2DCL", "title": "Plots normal VaR against confidence level", "topics": [ "NormalVaRPlot2DCL" ] }, { "page": "NormalVaRPlot2DHP", "title": "Plots normal VaR against holding period", "topics": [ "NormalVaRPlot2DHP" ] }, { "page": "NormalVaRPlot3D", "title": "Plots normal VaR in 3D against confidence level and holding period", "topics": [ "NormalVaRPlot3D" ] }, { "page": "PCAES", "title": "Estimates ES by principal components analysis", "topics": [ "PCAES" ] }, { "page": "PCAESPlot", "title": "ES plot", "topics": [ "PCAESPlot" ] }, { "page": 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