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Historical Value At Risk

version 1.0.0.1 (11.4 KB) by

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.
E.g.

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

Comments and Ratings (6)

Competent author.
thanks for this nice contribution.

Yeon Kyo Chi

gowent gowent

Thank you very much!!

Zhang Shumeng

Thank you!

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?

Taylor Xie

Updates

1.0.0.1

Updated license

MATLAB Release
MATLAB 8.0 (R2012b)

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