Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

'Kevin Dowd's' book Measuring Market Risk is a widely read book in the area of risk measurement by students and practitioners alike. As he claims, 'MATLAB' indeed might have been the most suitable language when he originally wrote the functions, but, with growing popularity of R it is not entirely valid. As 'Dowd's' code was not intended to be error free and were mainly for reference, some functions in this package have inherited those errors. An attempt will be made in future releases to identify and correct them. 'Dowd's' original code can be downloaded from www.kevindowd.org/measuring-market-risk/. It should be noted that 'Dowd' offers both 'MMR2' and 'MMR1' toolboxes. Only 'MMR2' was ported to R. 'MMR2' is more recent version of 'MMR1' toolbox and they both have mostly similar function. The toolbox mainly contains different parametric and non parametric methods for measurement of market risk as well as backtesting risk measurement methods.


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install.packages("Dowd")

0.12 by Dinesh Acharya, 3 years ago


Browse source code at https://github.com/cran/Dowd


Authors: Dinesh Acharya <[email protected]>


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL license


Depends on bootstrap, MASS, forecast

Suggests PerformanceAnalytics, testthat


See at CRAN