Dowd-package


<kbd>Dowd</kbd> Kevin Dowd's book "Measuring Market Risk" gives overview of risk measurement procedures with focus on Value at Risk (VaR) and Expected Shortfall (ES).


 package

'Kevin Dowd's' book Measuring Market Risk is a widely read book
in the area of risk measurement by students and
practitioners alike. As he claims, 'MATLAB' indeed might have been the most
suitable language when he originally wrote the functions, but,
with growing popularity of R it is not entirely
valid. As 'Dowd's' code was not intended to be error free and were mainly
for reference, some functions in this package have inherited those
errors. An attempt will be made in future releases to identify and correct
them. 'Dowd's' original code can be downloaded from www.kevindowd.org/measuring-market-risk/.
It should be noted that 'Dowd' offers both
'MMR2' and 'MMR1' toolboxes. Only 'MMR2' was ported to R. 'MMR2' is more
recent version of 'MMR1' toolbox and they both have mostly similar
function. The toolbox mainly contains different parametric and non
parametric methods for measurement of market risk as well as
backtesting risk measurement methods.

Dinesh Acharya

Dowd

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

Dowd-package function

Without Kevin Dowd's book Measuring Market Risk and accompanying MATLAB toolbox, this project would not have been possible. Peter Carl and Brian G. Peterson deserve special acknowledgement for mentoring me on this project.

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

Description

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Acknowledgments

References