Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Hotspots for ES adjusted by Cornish-Fisher correction
Hotspots for VaR adjusted by Cornish-Fisher correction
Cornish-Fisher adjusted Variance-Covariance ES
Cornish-Fisher adjusted variance-covariance VaR
Plots cumulative density for AD test and computes confidence interval ...
Estimates ES of American vanilla put using binomial tree.
Estimates ES of American vanilla put using binomial option valuation t...
Binomial Put Price
Estimates VaR of American vanilla put using binomial tree.
Carries out the binomial backtest for a VaR risk measurement model.
ES of Black-Scholes call using Monte Carlo Simulation
Price of European Call Option
ES of Black-Scholes put using Monte Carlo Simulation
Price of European Put Option
Blanco-Ihle forecast evaluation backtest measure
Bootstrapped ES for specified confidence level
Bootstrapped ES Confidence Interval
Plots figure of bootstrapped ES
Bootstrapped VaR for specified confidence level
Bootstrapped VaR Confidence Interval
Plots figure of bootstrapped VaR
Estimates ES with Box-Cox transformation
Estimates VaR with Box-Cox transformation
Derives prob ( X + Y < quantile) using Gaussian copula
Derives prob ( X + Y < quantile) using Gumbel copula
Derives prob ( X + Y < quantile) using Product copula
Christoffersen Backtest for Independence
Christoffersen Backtest for Unconditional Coverage
Corn-Fisher ES
Corn-Fisher VaR
Monte Carlo VaR for DB pension
Monte Carlo VaR for DC pension
VaR for default risky bond portfolio
R-version of Kevin Dowd's MATLAB Toolbox from book "Measuring Market R...
Log Normal VaR with filter strategy
Frechet Expected Shortfall
Plots Frechet Expected Shortfall against confidence level
Frechet Value at Risk
Plots Frechet Value at Risk against Cl
Bivariate Gaussian Copule VaR
Expected Shortfall for Generalized Pareto
Plot of Emperical and Generalised Pareto mean excess functions
Plot of Emperical and 2 Generalised Pareto mean excess functions
VaR for Generalized Pareto
Bivariate Gumbel Copule VaR
Gumbel ES
Gumbel VaR
Gumbel VaR
Gumbel VaR
Hill Estimator
Hill Plot
Hill Quantile Estimator
Expected Shortfall of a portfolio using Historical Estimator
Percentile of historical simulation ES distribution function
Figure of Historical SImulation VaR and ES and histogram of L/P
Plots historical simulation ES against confidence level
Value at Risk of a portfolio using Historical Estimator
Percentile of historical simulation VaR distribution function
Plots historical simulation VaR and ES against confidence level
Figure of Historical SImulation VaR and histogram of L/P
Plots historical simulation VaR against confidence level
VaR of Insurance Portfolio
VaR and ES of Insurance Portfolio
Jarque-Bera backtest for normality.
Calculates ES using box kernel approach
Calculates ES using Epanechinikov kernel approach
Calculates ES using normal kernel approach
Calculates ES using triangle kernel approach
Calculates VaR using box kernel approach
Calculates VaR using epanechinikov kernel approach
Calculates VaR using normal kernel approach
Calculates VaR using triangle kernel approach
Plots cumulative density for KS test and computes confidence interval ...
Plots cummulative density for Kuiper test and computes confidence inte...
ES for normally distributed geometric returns
Percentiles of ES distribution function for normally distributed geome...
Figure of lognormal VaR and ES and pdf against L/P
Plots log normal ES against confidence level
Plots log normal ES against holding period
Plots log normal ES against confidence level and holding period
VaR for normally distributed geometric returns
Percentiles of VaR distribution function for normally distributed geom...
Plots log normal VaR and ETL against confidence level
Figure of lognormal VaR and pdf against L/P
Plots log normal VaR against confidence level
Plots log normal VaR against holding period
Plots log normal VaR against confidence level and holding period
ES for t distributed geometric returns
Percentiles of ES distribution function for Student-t
Plots log-t ES against confidence level
Plots log-t ES against holding period
Plots log-t ES against confidence level and holding period
VaR for t distributed geometric returns
Percentiles of VaR distribution function for Student-t
Plots log-t VaR against confidence level
Plots log-t VaR against holding period
Plots log-t VaR against confidence level and holding period
Derives VaR of a long Black Scholes call option
Derives VaR of a long Black Scholes put option
First (binomial) Lopez forecast evaluation backtest score measure
Mean Excess Function Plot
ES for normally distributed P/L
Generates Monte Carlo 95% Confidence Intervals for normal ES
Percentiles of ES distribution function for normally distributed P/L d...
Figure of normal VaR and ES and pdf against L/P
Hotspots for normal ES
Plots normal ES against confidence level
Plots normal ES against holding period
Plots normal ES against confidence level and holding period
Normal Quantile Quantile Plot
Standard error of normal quantile estimate
Estimates the spectral risk measure of a portfolio
VaR for normally distributed P/L
Generates Monte Carlo 95% Confidence Intervals for normal VaR
Percentiles of VaR distribution function for normally distributed P/L
Figure of normal VaR and pdf against L/P
Hotspots for normal VaR
Plots normal VaR against confidence level
Plots normal VaR against holding period
Plots normal VaR in 3D against confidence level and holding period
Estimates ES by principal components analysis
ES plot
Estimates VaR plot using principal components analysis
Estimates VaR by principal components analysis
VaR plot
Pickands Estimator
Pickand Estimator - Tail Sample Size Plot
Bivariate Product Copule VaR
Derives VaR of a short Black Scholes call option
Derives VaR of a short Black Scholes put option
Log Normal VaR with stop loss limit
ES for t distributed P/L
Percentiles of ES distribution function for t-distributed P/L
Figure of t - VaR and ES and pdf against L/P
Plots t- ES against confidence level
Plots t ES against holding period
Plots t ES against confidence level and holding period
Student's T Quantile - Quantile Plot
Standard error of t quantile estimate
VaR for t distributed P/L
Percentiles of VaR distribution function
Plots t VaR and ES against confidence level
Figure of t- VaR and pdf against L/P
Plots t VaR against confidence level
Plots t VaR against holding period
Plots t VaR against confidence level and holding period
Variance-covariance ES for normally distributed returns
Variance-covariance VaR for normally distributed returns
'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.