4.0

4.0 | 1 rating Rate this file 37 Downloads (last 30 days) File Size: 11.4 KB File ID: #38848
image thumbnail

Historical Value At Risk

by

 

Calculates Historical Value at Risk for a given portfolio of returns

| Watch this File

File Information
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)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.
Comments and Ratings (2)
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?

26 Dec 2013 Taylor Xie  

Contact us