[Returnanalytics-commits] r3919 - in pkg/Dowd: . vignettes

[noreply at r-forge.r-project.org]

Author: dacharya
Date: 2015-08-05 23:28:56 +0200 (Wed, 05 Aug 2015)
New Revision: 3919

Added:
   pkg/Dowd/vignettes/
   pkg/Dowd/vignettes/Dowd.Rnw
Log:
Vignettes folder added

Added: pkg/Dowd/vignettes/Dowd.Rnw
===================================================================
--- pkg/Dowd/vignettes/Dowd.Rnw	                        (rev 0)
+++ pkg/Dowd/vignettes/Dowd.Rnw	2015-08-05 21:28:56 UTC (rev 3919)
@@ -0,0 +1,39 @@
+\documentclass{article}
+\usepackage{amsmath, amsthm}
+\usepackage{hyperref}
+\usepackage{Rd}
+\usepackage{Sweave}
+%\VignetteDepends{Dowd, MASS, bootstrap}
+%\VignetteIndexEntry{Dowd}
+%\VignetteKeywords{risk measurement, parametric methods, non-parametric methods backtest}
+%\VignettePackage{Dowd}
+\title{Usage of \pkg{Dowd} Package}
+\author{Dinesh Acharya}
+\begin{document}
+\maketitle
+\begin{abstract}
+In this vignette, use of package \pkg{Dowd} for various parametric and non-parametric methods to measure market risk is demonstrated. Additionally, methods for backtesting risk measures are also discussed.
+\end{abstract}
+\tableofcontents
+\section{Introduction}
+Market Risks are those risks that are associated with fluctuations in market prices or rates. For example, risk associated with fluctuation in price of a particular stock or a certain commodity is a market risk where as risk associated with default of a loan or financial system collapse is not market risk.\\
+\\
+Since the early works of Harry Markowitz, and particularly in the last two decades, there has been significant development in the area of risk measurement. Value-at-Risk (VaR) has become widely used measure of risk. VaR at $\alpha$ confidence level is defined as the negative of $\alpha-$th quantile of the profit/loss distribution, i.e.
+\[VaR_{\alpha}(F) = -inf\{x\in R:F(x) \ge \alpha\}\]
+where $F$ is the distribution function associated with random variable .\\
+\\
+VaR has its own weaknesses. Consequently, ES has been put championed by some as a better alternative to VaR. At $\alpha-$ confidence level, it is defined as:
+\[ES_{\alpha}(F)=\frac{1}{\alpha}\int_0^{\alpha}VaR_u(F)d(u)\]
+ES too has its own weaknesses and few other alternative riskmeasures have also been proposed.
+
+\section{Parametric Methods}
+Parametric methods are based on certain assumption on the profit/loss distribution. Based on those assumptions, the parameters of the theoretical distribution are approximated with the data. Given a theoretical distribution, the definition of VaR or ES given above usually reduces to a definite form, and can be approximated using estimates of parameters.
+<<echo=FALSE>>=
+library(Dowd)
+library(MASS)
+library(bootstrap)
+library(PerformanceAnalytics)
+@
+
+
+\end{document}
\ No newline at end of file