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Parametric Value At Risk

version 1.0.0.1 (11.5 KB) by David Willingham
Computes the Parametric Value at Risk for a given Portfolio

1.1K Downloads

Updated 01 Sep 2016

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

Cite As

David Willingham (2021). Parametric Value At Risk (https://www.mathworks.com/matlabcentral/fileexchange/38849-parametric-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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