Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: VaR

VaRauxdiagcat subroutine for VaRdiagtable.
VaRauxsums subroutine for VaRpred (with option sums), calculates the transformation matrix.
VaRdiagplot produces calibration and discrimination plots which verify validity of probability forecasts.
VaRdiagtable produces table containing frequencies of predictive probabilities of the observations falling into specified intervals.
VaRest estimates the value at risk (VaR).
VaRgrdiag produces calibration and discrimination plots which verify validity of probability forecasts.
VaRmain sets defaults for library VaR.
VaRopt defines a list with optional parameters in VaR functions. The list is either created or new options are appended to an existing list. Note that VaRopt does accept _any_ values for the parameters without checking validity.
VaRpred predicts the value at risk (VaR).
VaRqqplot visualizes the reliability of VaR forecasts.
VaRtimeplot shows the time plot of VaR forecasts and the associated changes of the P&L of the portfolio.

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

(C) MD*TECH Method and Data Technologies, 17.8.2000