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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 (5)

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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