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Parametric Value At Risk

version 1.0.0.1 (11.5 KB) by

Computes the Parametric Value at Risk for a given Portfolio

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Updated

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

Comments and Ratings (1)

zhe

zhe (view profile)

Updates

1.0.0.1

Updated license

MATLAB Release
MATLAB 8.0 (R2012b)

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