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Historical Value At Risk

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Historical Value At Risk

by David Willingham

 

07 Nov 2012

Calculates Historical Value at Risk for a given portfolio of returns

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Description

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

E.g.

confidence_level = 0.95;
plot_flag = true;
figure
VAR_hist = computeHistoricalVaR(returns,confidence_level,plot_flag)
Required Products Statistics Toolbox
MATLAB
MATLAB release MATLAB 8.0 (R2012b)
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historical value at risk, portfolio, portfolio optimization, portfolio value at risk, value at risk, var(2)
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