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Historical Value At Risk

version 1.0.0.1 (11.4 KB) by David Willingham
Calculates Historical Value at Risk for a given portfolio of returns

2.8K Downloads

Updated 01 Sep 2016

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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)

Cite As

David Willingham (2021). Historical Value At Risk (https://www.mathworks.com/matlabcentral/fileexchange/38848-historical-value-at-risk), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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