'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.

Documentation

Manual: Dowd.pdf
Vignette: None available.

Maintainer: Dinesh Acharya <dines.acharya at gmail.com>

Author(s): Dinesh Acharya <dines.acharya at gmail.com>

Install package and any missing dependencies by running this line in your R console:

install.packages("Dowd")

Depends R (>= 3.0.0), bootstrap, MASS, forecast
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Package Dowd
Materials
URL
Task Views Finance
Version 0.12
Published 2016-03-11
License GPL
BugReports
SystemRequirements
NeedsCompilation no
Citation
CRAN checks Dowd check results
Package source Dowd_0.12.tar.gz