[Returnanalytics-commits] r3982 - pkg/Dowd/vignettes

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

Author: dacharya
Date: 2015-08-20 11:40:59 +0200 (Thu, 20 Aug 2015)
New Revision: 3982

Removed:
   pkg/Dowd/vignettes/Dowd.Rnw
Log:
Deleted as it was incomplete and not ready to submission to CRAN

Deleted: pkg/Dowd/vignettes/Dowd.Rnw
===================================================================
--- pkg/Dowd/vignettes/Dowd.Rnw	2015-08-20 09:37:12 UTC (rev 3981)
+++ pkg/Dowd/vignettes/Dowd.Rnw	2015-08-20 09:40:59 UTC (rev 3982)
@@ -1,39 +0,0 @@
-\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