Description Usage Arguments Value Author(s) References Examples

View source: R/CornishFisherVaR.R

Function estimates the VaR for near-normal P/L using the Cornish-Fisher adjustment for non-normality, for specified confidence level.

1 | ```
CornishFisherVaR(mu, sigma, skew, kurtosis, cl)
``` |

`mu` |
Mean of P/L distribution |

`sigma` |
Variance of of P/L distribution |

`skew` |
Skew of P/L distribution |

`kurtosis` |
Kurtosis of P/L distribution |

`cl` |
VaR confidence level |

Value at Risk

Dinesh Acharya

Dowd, K. Measuring Market Risk, Wiley, 2007.

Zangri, P. A VaR methodology for portfolios that include options. RiskMetrics Monitor, First quarter, 1996, p. 4-12.

1 2 | ```
# Estimates Cornish-Fisher VaR for given parameters
CornishFisherVaR(3.2, 5.6, 2, 3, .9)
``` |

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