Other packages > Find by keyword >

Dowd  

Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
View on CRAN: Click here


Download and install Dowd package within the R console
Install from CRAN:
install.packages("Dowd")

Install from Github:
library("remotes")
install_github("cran/Dowd")

Install by package version:
library("remotes")
install_version("Dowd", "0.12")



Attach the package and use:
library("Dowd")
Maintained by
Dinesh Acharya
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-09-01
Latest Update: 2016-03-11
Description:
'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.
How to cite:
Dinesh Acharya (2015). Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk. R package version 0.12, https://cran.r-project.org/web/packages/Dowd. Accessed 06 Mar. 2026.
Previous versions and publish date:
0.1 (2015-09-01 17:41)
Other packages that cited Dowd R package
View Dowd citation profile
Other R packages that Dowd depends, imports, suggests or enhances
Complete documentation for Dowd
Functions, R codes and Examples using the Dowd R package
Some associated functions: ADTestStat . AdjustedNormalESHotspots . AdjustedNormalVaRHotspots . AdjustedVarianceCovarianceES . AdjustedVarianceCovarianceVaR . AmericanPutESBinomial . AmericanPutESSim . AmericanPutPriceBinomial . AmericanPutVaRBinomial . BinomialBacktest . BlackScholesCallESSim . BlackScholesCallPrice . BlackScholesPutESSim . BlackScholesPutPrice . BlancoIhleBacktest . BootstrapES . BootstrapESConfInterval . BootstrapESFigure . BootstrapVaR . BootstrapVaRConfInterval . BootstrapVaRFigure . BoxCoxES . BoxCoxVaR . CdfOfSumUsingGaussianCopula . CdfOfSumUsingGumbelCopula . CdfOfSumUsingProductCopula . ChristoffersenBacktestForIndependence . ChristoffersenBacktestForUnconditionalCoverage . CornishFisherES . CornishFisherVaR . DBPensionVaR . DCPensionVaR . DefaultRiskyBondVaR . Dowd-package . FilterStrategyLogNormalVaR . FrechetES . FrechetESPlot2DCl . FrechetVaR . FrechetVaRPlot2DCl . GParetoES . GParetoMEFPlot . GParetoMultipleMEFPlot . GParetoVaR . GaussianCopulaVaR . GumbelCopulaVaR . GumbelES . GumbelESPlot2DCl . GumbelVaR . GumbelVaRPlot2DCl . HSES . HSESDFPerc . HSESFigure . HSESPlot2DCl . HSVaR . HSVaRDFPerc . HSVaRESPlot2DCl . HSVaRFigure . HSVaRPlot2DCl . HillEstimator . HillPlot . HillQuantileEstimator . InsuranceVaR . InsuranceVaRES . JarqueBeraBacktest . KSTestStat . KernelESBoxKernel . KernelESEpanechinikovKernel . KernelESNormalKernel . KernelESTriangleKernel . KernelVaRBoxKernel . KernelVaREpanechinikovKernel . KernelVaRNormalKernel . KernelVaRTriangleKernel . KuiperTestStat . LogNormalES . LogNormalESDFPerc . LogNormalESFigure . LogNormalESPlot2DCL . LogNormalESPlot2DHP . LogNormalESPlot3D . LogNormalVaR . LogNormalVaRDFPerc . LogNormalVaRETLPlot2DCL . LogNormalVaRFigure . LogNormalVaRPlot2DCL . LogNormalVaRPlot2DHP . LogNormalVaRPlot3D . LogtES . LogtESDFPerc . LogtESPlot2DCL . LogtESPlot2DHP . LogtESPlot3D . LogtVaR . LogtVaRDFPerc . LogtVaRPlot2DCL . LogtVaRPlot2DHP . LogtVaRPlot3D . LongBlackScholesCallVaR . LongBlackScholesPutVaR . LopezBacktest . MEFPlot . NormalES . NormalESConfidenceInterval . NormalESDFPerc . NormalESFigure . NormalESHotspots . NormalESPlot2DCL . NormalESPlot2DHP . NormalESPlot3D . NormalQQPlot . NormalQuantileStandardError . NormalSpectralRiskMeasure . NormalVaR . NormalVaRConfidenceInterval . NormalVaRDFPerc . NormalVaRFigure . NormalVaRHotspots . NormalVaRPlot2DCL . NormalVaRPlot2DHP . NormalVaRPlot3D . PCAES . PCAESPlot . PCAPrelim . PCAVaR . PCAVaRPlot . PickandsEstimator . PickandsPlot . ProductCopulaVaR . ShortBlackScholesCallVaR . ShortBlackScholesPutVaR . StopLossLogNormalVaR . TQQPlot . VarianceCovarianceES . VarianceCovarianceVaR . tES . tESDFPerc . tESFigure . tESPlot2DCL . tESPlot2DHP . tESPlot3D . tQuantileStandardError . tVaR . tVaRDFPerc . tVaRESPlot2DCL . tVaRFigure . tVaRPlot2DCL . tVaRPlot2DHP . tVaRPlot3D . 
Some associated R codes: ADTestStat.R . AdjustedNormalESHotspots.R . AdjustedNormalVaRHotspots.R . AdjustedVarianceCovarianceES.R . AdjustedVarianceCovarianceVaR.R . AmericanPutESBinomial.R . AmericanPutESSim.R . AmericanPutPriceBinomial.R . AmericanPutVaRBinomial.R . BinomialBacktest.R . BlackScholesCallESSim.R . BlackScholesCallPrice.R . BlackScholesPutESSim.R . BlackScholesPutPrice.R . BlancoIhleBacktest.R . BootstrapES.R . BootstrapESConfInterval.R . BootstrapESFigure.R . BootstrapVaR.R . BootstrapVaRConfInterval.R . BootstrapVaRFigure.R . BoxCoxES.R . BoxCoxVaR.R . CdfOfSumUsingGaussianCopula.R . CdfOfSumUsingGumbelCopula.R . CdfOfSumUsingProductCopula.R . ChristoffersenBacktestForIndependence.R . ChristoffersenBacktestForUnconditionalCoverage.R . CornishFisherES.R . CornishFisherVaR.R . DBPensionVaR.R . DCPensionVaR.R . DefaultRiskyBondVaR.R . FilterStrategyLogNormalVaR.R . FrechetES.R . FrechetESPlot2DCl.R . FrechetVaR.R . FrechetVaRPlot2DCl.R . GParetoES.R . GParetoMEFPlot.R . GParetoMultipleMEFPlot.R . GParetoVaR.R . GaussianCopulaVaR.R . GumbelCopulaVaR.R . GumbelES.R . GumbelESPlot2DCl.R . GumbelVaR.R . GumbelVaRPlot2DCl.R . HSES.R . HSESDFPerc.R . HSESFigure.R . HSESPlot2DCl.R . HSVaR.R . HSVaRDFPerc.R . HSVaRESPlot2DCl.R . HSVaRFigure.R . HSVaRPlot2DCl.R . HillEstimator.R . HillPlot.R . HillQuantileEstimator.R . InsuranceVaR.R . InsuranceVaRES.R . JarqueBeraBacktest.R . KSTestStat.R . KernelESBoxKernel.R . KernelESEpanechinikovKernel.R . KernelESNormalKernel.R . KernelESTriangleKernel.R . KernelVaRBoxKernel.R . KernelVaREpanechinikovKernel.R . KernelVaRNormalKernel.R . KernelVaRTriangleKernel.R . KuiperTestStat.R . LogNormalES.R . LogNormalESDFPerc.R . LogNormalESFigure.R . LogNormalESPlot2DCL.R . LogNormalESPlot2DHP.R . LogNormalESPlot3D.R . LogNormalVaR.R . LogNormalVaRDFPerc.R . LogNormalVaRETLPlot2DCL.R . LogNormalVaRFigure.R . LogNormalVaRPlot2DCL.R . LogNormalVaRPlot2DHP.R . LogNormalVaRPlot3D.R . LogtES.R . LogtESDFPerc.R . LogtESPlot2DCL.R . LogtESPlot2DHP.R . LogtESPlot3D.R . LogtVaR.R . LogtVaRDFPerc.R . LogtVaRPlot2DCL.R . LogtVaRPlot2DHP.R . LogtVaRPlot3D.R . LongBlackScholesCallVaR.R . LongBlackScholesPutVaR.R . LopezBacktest.R . MEFPlot.R . NormalES.R . NormalESConfidenceInterval.R . NormalESDFPerc.R . NormalESFigure.R . NormalESHotspots.R . NormalESPlot2DCL.R . NormalESPlot2DHP.R . NormalESPlot3D.R . NormalQQPlot.R . NormalQuantileStandardError.R . NormalSpectralRiskMeasure.R . NormalVaR.R . NormalVaRConfidenceInterval.R . NormalVaRDFPerc.R . NormalVaRFigure.R . NormalVaRHotspots.R . NormalVaRPlot2DCL.R . NormalVaRPlot2DHP.R . NormalVaRPlot3D.R . PCAES.R . PCAESPlot.R . PCAPrelim.R . PCAVaR.R . PCAVaRPlot.R . PickandsEstimator.R . PickandsPlot.R . ProductCopulaVaR.R . ShortBlackScholesCallVaR.R . ShortBlackScholesPutVaR.R . StopLossLogNormalVaR.R . TQQPlot.R . VarianceCovarianceES.R . VarianceCovarianceVaR.R . tES.R . tESDFPerc.R . tESFigure.R . tESPlot2DCL.R . tESPlot2DHP.R . tESPlot3D.R . tQuantileStandardError.R . tVaR.R . tVaRDFPerc.R . tVaRESPlot2DCL.R . tVaRFigure.R . tVaRPlot2DCL.R . tVaRPlot2DHP.R . tVaRPlot3D.R .  Full Dowd package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

lbfgs  
Limited-memory BFGS Optimization
A wrapper built around the libLBFGS optimization library by Naoaki Okazaki. The lbfgs package implem ...
Download / Learn more Package Citations See dependency  
mlr3viz  
Visualizations for 'mlr3'
Visualization package of the 'mlr3' ecosystem. It features plots for mlr3 objects such as tasks, le ...
Download / Learn more Package Citations See dependency  
solitude  
An Implementation of Isolation Forest
Isolation forest is anomaly detection method introduced by the paper Isolation based Anomaly Detecti ...
Download / Learn more Package Citations See dependency  
openxlsx  
Read, Write and Edit xlsx Files
Simplifies the creation of Excel .xlsx files by providing a high level interface to writing, stylin ...
Download / Learn more Package Citations See dependency  
DatabionicSwarm  
Swarm Intelligence for Self-Organized Clustering
Algorithms implementing populations of agents that interact with one another and sense their environ ...
Download / Learn more Package Citations See dependency  
EMVS  
The Expectation-Maximization Approach to Bayesian Variable Selection
An efficient expectation-maximization algorithm for fitting Bayesian spike-and-slab regularization p ...
Download / Learn more Package Citations See dependency  

26,264

R Packages

223,360

Dependencies

70,244

Author Associations

26,265

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA