KernelESTriangleKernel function

Calculates ES using triangle kernel approach

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

KernelESTriangleKernel(Ra, cl)

Arguments

• Ra: Profit and Loss data set
• cl: VaR confidence level

Returns

Scalar VaR

Examples

# VaR for specified confidence level using triangle kernel approach
   Ra <- rnorm(30)
   KernelESTriangleKernel(Ra, .95)

Author(s)

Dinesh Acharya

References

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