Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

portvrisk

Portfolio value at risk (VaR)

Syntax

ValueAtRisk = portvrisk(PortReturn,PortRisk)
ValueAtRisk = portvrisk(___,RiskThreshold,PortValue)

Description

example

ValueAtRisk = portvrisk(PortReturn,PortRisk) returns the maximum potential loss in the value of a portfolio over one period of time (that is, monthly, quarterly, yearly, and so on) given the loss probability level.

example

ValueAtRisk = portvrisk(___,RiskThreshold,PortValue) adds optional arguments for RiskThreshold and PortValue.

Examples

collapse all

This example shows how to return the maximum potential loss in the value of a portfolio over one period of time, where ValueAtRisk is computed on a per-unit basis.

PortReturn = 0.29/100;
PortRisk = 3.08/100;
RiskThreshold = [0.01;0.05;0.10];
PortValue = 1;
ValueAtRisk = portvrisk(PortReturn,PortRisk,... 
RiskThreshold,PortValue)
ValueAtRisk = 

    0.0688
    0.0478
    0.0366

This example shows how to return the maximum potential loss in the value of a portfolio over one period of time, where ValueAtRisk is computed with actual values.

PortReturn = [0.29/100;0.30/100];
PortRisk = [3.08/100;3.15/100];
RiskThreshold = 0.10;
PortValue = [1000000000;500000000];
ValueAtRisk = portvrisk(PortReturn,PortRisk,...
RiskThreshold,PortValue)
ValueAtRisk = 

   1.0e+07 *

    3.6572
    1.8684

Input Arguments

collapse all

Expected return of each portfolio over the period, specified as a NPORTS-by-1 vector or scalar.

Data Types: double

Standard deviation of each portfolio over period, specified as a NPORTS-by-1 vector or scalar.

Data Types: double

(Optional) Loss probability, specified as a NPORTS-by-1 vector or scalar.

Data Types: double

(Optional) Total value of asset portfolio, specified as a NPORTS-by-1 vector or scalar.

Note

If PortReturn and PortRisk are in dollar units, then PortValue should be 1. If PortReturn and PortRisk are on a percentage basis, then PortValue should be the total value of the portfolio.

Data Types: double

Output Arguments

collapse all

Estimated maximum loss in the portfolio, returned as an NPORTS-by-1 vector. ValueAtRisk is predicted with a confidence probability of 1RiskThreshold. portvrisk calculates ValueAtRisk using a normal distribution.

Note

If PortValue is not given, ValueAtRisk is presented on a per-unit basis. A value of 0 indicates no losses.

Introduced before R2006a

Was this topic helpful?