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Historical Value At Risk

4.7 | 3 ratings Rate this file 55 Downloads (last 30 days) File Size: 11.4 KB File ID: #38848 Version: 1.0
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Historical Value At Risk



Calculates Historical Value at Risk for a given portfolio of returns

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Calculates Historical Value at Risk for a given portfolio of returns.


confidence_level = 0.95;
plot_flag = true;
VAR_hist = computeHistoricalVaR(returns,confidence_level,plot_flag)

Required Products Statistics and Machine Learning Toolbox
MATLAB release MATLAB 8.0 (R2012b)
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Comments and Ratings (4)
11 Dec 2015 gowent gowent

Thank you very much!!

11 Dec 2015 Zhang Shumeng

Thank you!

11 Jul 2014 Chen Chen

Hi, thanks for the contribution. I have one question about the plotting of historical VaR. Since we don't use a normal fit here, it is obviously unreasonable that the y-axis still shows the normal fit number, how can I make y-axis the frequency of the data?

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26 Dec 2013 Taylor Xie  

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