Dowd (version 0.12)

BoxCoxES: Estimates ES with Box-Cox transformation

Description

Function estimates the ES of a portfolio assuming P and L data set transformed using the BoxCox transformation to make it as near normal as possible, for specified confidence level and holding period implied by data frequency.

Usage

BoxCoxES(loss.data, cl)

Arguments

loss.data

Daily Profit/Loss data

cl

Confidence Level. It can be a scalar or a vector.

Value

Estimated Box-Cox ES. Its dimension is same as that of cl

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Hamilton, S. A. and Taylor, M. G. A Comparision of the Box-Cox transformation method and nonparametric methods for estimating quantiles in clinical data with repeated measures. J. Statist. Comput. Simul., vol. 45, 1993, pp. 185 - 201.

Examples

# Estimates Box-Cox VaR
   a<-rnorm(200)
   BoxCoxES(a,.95)