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Parametric Value At Risk

by

David Willingham

 

Computes the Parametric Value at Risk for a given Portfolio

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Description

E.g.

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

Required Products Statistics Toolbox
MATLAB
MATLAB release MATLAB 8.0 (R2012b)
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07 Jan 2015 zhe

zhe

 

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