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Historical Value At Risk

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4.8 | 4 ratings Rate this file 28 Downloads (last 30 days) File Size: 11.4 KB File ID: #38848 Version: 1.0.0.1
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Historical Value At Risk

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07 Nov 2012 (Updated )

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 and Machine Learning Toolbox
MATLAB
MATLAB release MATLAB 8.0 (R2012b)
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Comments and Ratings (5)
29 Jul 2016 Yeon Kyo Chi  
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  
Updates
01 Sep 2016 1.0.0.1

Updated license

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