KernelVaRBoxKernel function

Calculates VaR using box kernel approach

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

KernelVaRBoxKernel(Ra, cl, plot = TRUE)

Arguments

• Ra: Profit and Loss data set
• cl: VaR confidence level
• plot: Bool which indicates whether the graph is plotted or not

Returns

Scalar VaR

Examples

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

Author(s)

Dinesh Acharya

References

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