BoxCoxES function

Estimates ES with Box-Cox transformation

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.

BoxCoxES(loss.data, cl)

Arguments

• loss.data: Daily Profit/Loss data
• cl: Confidence Level. It can be a scalar or a vector.

Returns

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

Examples

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

Author(s)

Dinesh Acharya

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.