KernelVaREpanechinikovKernel function

Calculates VaR using epanechinikov kernel approach

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

KernelVaREpanechinikovKernel(Ra, cl, plot = TRUE)

Arguments

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

Returns

Scalar VaR

Examples

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

Author(s)

Dinesh Acharya

References

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