KernelESEpanechinikovKernel function

Calculates ES using Epanechinikov kernel approach

The output consists of a scalar ES for specified confidence level.

KernelESEpanechinikovKernel(Ra, cl, plot = TRUE)

Arguments

• Ra: Profit and Loss data set
• cl: ES confidence level
• plot: Bool, plots cdf if true

Returns

Scalar ES

Examples

# ES for specified confidence level using Epanechinikov kernel approach
   Ra <- rnorm(30)
   KernelESEpanechinikovKernel(Ra, .95)

Author(s)

Dinesh Acharya

References

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