R: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

# Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

## Documentation for package ‘Dowd’ version 0.12

- DESCRIPTION file

## Help Pages

A B C D F G H I J K L M N P S T V

Dowd-package | R-version of Kevin Dowd's MATLAB Toolbox from book "Measuring Market Risk".

## -- A --

AdjustedNormalESHotspots | Hotspots for ES adjusted by Cornish-Fisher correction
AdjustedNormalVaRHotspots | Hotspots for VaR adjusted by Cornish-Fisher correction
AdjustedVarianceCovarianceES | Cornish-Fisher adjusted Variance-Covariance ES
AdjustedVarianceCovarianceVaR | Cornish-Fisher adjusted variance-covariance VaR
ADTestStat | Plots cumulative density for AD test and computes confidence interval for AD test stat.
AmericanPutESBinomial | Estimates ES of American vanilla put using binomial tree.
AmericanPutESSim | Estimates ES of American vanilla put using binomial option valuation tree and Monte Carlo Simulation
AmericanPutPriceBinomial | Binomial Put Price
AmericanPutVaRBinomial | Estimates VaR of American vanilla put using binomial tree.

## -- B --

BinomialBacktest | Carries out the binomial backtest for a VaR risk measurement model.
BlackScholesCallESSim | ES of Black-Scholes call using Monte Carlo Simulation
BlackScholesCallPrice | Price of European Call Option
BlackScholesPutESSim | ES of Black-Scholes put using Monte Carlo Simulation
BlackScholesPutPrice | Price of European Put Option
BlancoIhleBacktest | Blanco-Ihle forecast evaluation backtest measure
BootstrapES | Bootstrapped ES for specified confidence level
BootstrapESConfInterval | Bootstrapped ES Confidence Interval
BootstrapESFigure | Plots figure of bootstrapped ES
BootstrapVaR | Bootstrapped VaR for specified confidence level
BootstrapVaRConfInterval | Bootstrapped VaR Confidence Interval
BootstrapVaRFigure | Plots figure of bootstrapped VaR
BoxCoxES | Estimates ES with Box-Cox transformation
BoxCoxVaR | Estimates VaR with Box-Cox transformation

## -- C --

CdfOfSumUsingGaussianCopula | Derives prob ( X + Y < quantile) using Gaussian copula
CdfOfSumUsingGumbelCopula | Derives prob ( X + Y < quantile) using Gumbel copula
CdfOfSumUsingProductCopula | Derives prob ( X + Y < quantile) using Product copula
ChristoffersenBacktestForIndependence | Christoffersen Backtest for Independence
ChristoffersenBacktestForUnconditionalCoverage | Christoffersen Backtest for Unconditional Coverage
CornishFisherES | Corn-Fisher ES
CornishFisherVaR | Corn-Fisher VaR

## -- D --

DBPensionVaR | Monte Carlo VaR for DB pension
DCPensionVaR | Monte Carlo VaR for DC pension
DefaultRiskyBondVaR | VaR for default risky bond portfolio

## -- F --

FilterStrategyLogNormalVaR | Log Normal VaR with filter strategy
FrechetES | Frechet Expected Shortfall
FrechetESPlot2DCl | Plots Frechet Expected Shortfall against confidence level
FrechetVaR | Frechet Value at Risk
FrechetVaRPlot2DCl | Plots Frechet Value at Risk against Cl

## -- G --

GaussianCopulaVaR | Bivariate Gaussian Copule VaR
GParetoES | Expected Shortfall for Generalized Pareto
GParetoMEFPlot | Plot of Emperical and Generalised Pareto mean excess functions
GParetoMultipleMEFPlot | Plot of Emperical and 2 Generalised Pareto mean excess functions
GParetoVaR | VaR for Generalized Pareto
GumbelCopulaVaR | Bivariate Gumbel Copule VaR
GumbelES | Gumbel ES
GumbelESPlot2DCl | Gumbel VaR
GumbelVaR | Gumbel VaR
GumbelVaRPlot2DCl | Gumbel VaR

## -- H --

HillEstimator | Hill Estimator
HillPlot | Hill Plot
HillQuantileEstimator | Hill Quantile Estimator
HSES | Expected Shortfall of a portfolio using Historical Estimator
HSESDFPerc | Percentile of historical simulation ES distribution function
HSESFigure | Figure of Historical SImulation VaR and ES and histogram of L/P
HSESPlot2DCl | Plots historical simulation ES against confidence level
HSVaR | Value at Risk of a portfolio using Historical Estimator
HSVaRDFPerc | Percentile of historical simulation VaR distribution function
HSVaRESPlot2DCl | Plots historical simulation VaR and ES against confidence level
HSVaRFigure | Figure of Historical SImulation VaR and histogram of L/P
HSVaRPlot2DCl | Plots historical simulation VaR against confidence level

## -- I --

InsuranceVaR | VaR of Insurance Portfolio
InsuranceVaRES | VaR and ES of Insurance Portfolio

## -- J --

JarqueBeraBacktest | Jarque-Bera backtest for normality.

## -- K --

KernelESBoxKernel | Calculates ES using box kernel approach
KernelESEpanechinikovKernel | Calculates ES using Epanechinikov kernel approach
KernelESNormalKernel | Calculates ES using normal kernel approach
KernelESTriangleKernel | Calculates ES using triangle kernel approach
KernelVaRBoxKernel | Calculates VaR using box kernel approach
KernelVaREpanechinikovKernel | Calculates VaR using epanechinikov kernel approach
KernelVaRNormalKernel | Calculates VaR using normal kernel approach
KernelVaRTriangleKernel | Calculates VaR using triangle kernel approach
KSTestStat | Plots cumulative density for KS test and computes confidence interval for KS test stat.
KuiperTestStat | Plots cummulative density for Kuiper test and computes confidence interval for Kuiper test stat.

## -- L --

LogNormalES | ES for normally distributed geometric returns
LogNormalESDFPerc | Percentiles of ES distribution function for normally distributed geometric returns
LogNormalESFigure | Figure of lognormal VaR and ES and pdf against L/P
LogNormalESPlot2DCL | Plots log normal ES against confidence level
LogNormalESPlot2DHP | Plots log normal ES against holding period
LogNormalESPlot3D | Plots log normal ES against confidence level and holding period
LogNormalVaR | VaR for normally distributed geometric returns
LogNormalVaRDFPerc | Percentiles of VaR distribution function for normally distributed geometric returns
LogNormalVaRETLPlot2DCL | Plots log normal VaR and ETL against confidence level
LogNormalVaRFigure | Figure of lognormal VaR and pdf against L/P
LogNormalVaRPlot2DCL | Plots log normal VaR against confidence level
LogNormalVaRPlot2DHP | Plots log normal VaR against holding period
LogNormalVaRPlot3D | Plots log normal VaR against confidence level and holding period
LogtES | ES for t distributed geometric returns
LogtESDFPerc | Percentiles of ES distribution function for Student-t
LogtESPlot2DCL | Plots log-t ES against confidence level
LogtESPlot2DHP | Plots log-t ES against holding period
LogtESPlot3D | Plots log-t ES against confidence level and holding period
LogtVaR | VaR for t distributed geometric returns
LogtVaRDFPerc | Percentiles of VaR distribution function for Student-t
LogtVaRPlot2DCL | Plots log-t VaR against confidence level
LogtVaRPlot2DHP | Plots log-t VaR against holding period
LogtVaRPlot3D | Plots log-t VaR against confidence level and holding period
LongBlackScholesCallVaR | Derives VaR of a long Black Scholes call option
LongBlackScholesPutVaR | Derives VaR of a long Black Scholes put option
LopezBacktest | First (binomial) Lopez forecast evaluation backtest score measure

## -- M --

MEFPlot | Mean Excess Function Plot

## -- N --

NormalES | ES for normally distributed P/L
NormalESConfidenceInterval | Generates Monte Carlo 95% Confidence Intervals for normal ES
NormalESDFPerc | Percentiles of ES distribution function for normally distributed P/L data
NormalESFigure | Figure of normal VaR and ES and pdf against L/P
NormalESHotspots | Hotspots for normal ES
NormalESPlot2DCL | Plots normal ES against confidence level
NormalESPlot2DHP | Plots normal ES against holding period
NormalESPlot3D | Plots normal ES against confidence level and holding period
NormalQQPlot | Normal Quantile Quantile Plot
NormalQuantileStandardError | Standard error of normal quantile estimate
NormalSpectralRiskMeasure | Estimates the spectral risk measure of a portfolio
NormalVaR | VaR for normally distributed P/L
NormalVaRConfidenceInterval | Generates Monte Carlo 95% Confidence Intervals for normal VaR
NormalVaRDFPerc | Percentiles of VaR distribution function for normally distributed P/L
NormalVaRFigure | Figure of normal VaR and pdf against L/P
NormalVaRHotspots | Hotspots for normal VaR
NormalVaRPlot2DCL | Plots normal VaR against confidence level
NormalVaRPlot2DHP | Plots normal VaR against holding period
NormalVaRPlot3D | Plots normal VaR in 3D against confidence level and holding period

## -- P --

PCAES | Estimates ES by principal components analysis
PCAESPlot | ES plot
PCAPrelim | Estimates VaR plot using principal components analysis
PCAVaR | Estimates VaR by principal components analysis
PCAVaRPlot | VaR plot
PickandsEstimator | Pickands Estimator
PickandsPlot | Pickand Estimator - Tail Sample Size Plot
ProductCopulaVaR | Bivariate Product Copule VaR

## -- S --

ShortBlackScholesCallVaR | Derives VaR of a short Black Scholes call option
ShortBlackScholesPutVaR | Derives VaR of a short Black Scholes put option
StopLossLogNormalVaR | Log Normal VaR with stop loss limit

## -- T --

tES | ES for t distributed P/L
tESDFPerc | Percentiles of ES distribution function for t-distributed P/L
tESFigure | Figure of t - VaR and ES and pdf against L/P
tESPlot2DCL | Plots t- ES against confidence level
tESPlot2DHP | Plots t ES against holding period
tESPlot3D | Plots t ES against confidence level and holding period
TQQPlot | Student's T Quantile - Quantile Plot
tQuantileStandardError | Standard error of t quantile estimate
tVaR | VaR for t distributed P/L
tVaRDFPerc | Percentiles of VaR distribution function
tVaRESPlot2DCL | Plots t VaR and ES against confidence level
tVaRFigure | Figure of t- VaR and pdf against L/P
tVaRPlot2DCL | Plots t VaR against confidence level
tVaRPlot2DHP | Plots t VaR against holding period
tVaRPlot3D | Plots t VaR against confidence level and holding period

## -- V --

VarianceCovarianceES | Variance-covariance ES for normally distributed returns
VarianceCovarianceVaR | Variance-covariance VaR for normally distributed returns