GaussianCopulaVaR

Standard Deviation of Profit/Loss on first position

sigma1

Standard Deviation of Profit/Loss on second position

sigma2

Correlation between Profit/Loss on two positions

Number of steps used in the copula approximation
( approximation being needed because Gaussian copula lacks a closed form solution)

number.steps.in.copula


Derives VaR using bivariate Gaussian copula with specified inputs
for normal marginals.


'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.

GaussianCopulaVaR: Bivariate Gaussian Copule VaR

Description

Usage

Arguments

Value

References

Examples