Dowd

From MaRDI portal
Software:37154



swMATH25415CRANDowdMaRDI QIDQ37154

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

Dinesh Acharya

Last update: 11 March 2016

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.12

Source code repository: https://github.com/cran/Dowd




Related Items (34)

Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovationsDOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?PVaR: A New Risk Measure for Financial InvestmentsOptimal feedback control of stock prices under credit risk dynamicsRobust valuation, arbitrage ambiguity and profit \& loss analysisSensitivity of portfolio VaR and CVaR to portfolio return characteristicsA hybrid spline-based parametric model for the yield curveConfidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewnessPortfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture modelOnline product returns risk assessment and managementDynamics of cluster structure in financial correlation matrixModelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression modelHow does the choice of Value-at-Risk estimator influence asset allocation decisions?Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail productsEvaluating the goodness of fit of stochastic mortality modelsBayesian parameter inference for models of the Black and Scholes typeEfficient option risk measurement with reduced model riskValue at risk linear exponent (VARLINEX) forecastsMortality-dependent financial risk measuresA New Variance Reduction Technique for Estimating Value-at-RiskNested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluationMeasuring the risk of European carbon market: an empirical mode decomposition-based value at risk approachModeling and solving portfolio selection problems based on PVaRLikelihood-based scoring rules for comparing density forecasts in tailsAccurate value-at-risk forecasting based on the normal-GARCH modelA Wavelet Based Multi Scale VaR Model for Agricultural MarketDYNAMIC MEAN-VARIANCE PORTFOLIOS WITH RISK BUDGETSaddlepoint approximations for the doubly noncentral \(t\) distributionOn risk management problems related to a coherence propertyComputationally Tractable Counterparts of Distributionally Robust Constraints on Risk MeasuresPulled-to-par returns for zero-coupon bonds historical simulation value at riskUnnamed ItemApproximation methods for multiple period Value at Risk and Expected Shortfall predictionPricing and risk management of interest rate swaps


This page was built for software: Dowd