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Parametric Value At Risk

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4.0 | 1 rating Rate this file 10 Downloads (last 30 days) File Size: 11.5 KB File ID: #38849 Version: 1.0
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Parametric Value At Risk



Computes the Parametric Value at Risk for a given Portfolio

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confidence_level = 0.95;
plot_flag = true;
VAR_hist = computeParametricVaR(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 (1)
07 Jan 2015 zhe

zhe (view profile)


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