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Historical Value At Risk

4.8 | 4 ratings Rate this file 36 Downloads (last 30 days) File Size: 11.4 KB File ID: #38848 Version:
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Historical Value At Risk



07 Nov 2012 (Updated )

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 (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

01 Sep 2016

Updated license

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