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. |