Estimates the Value at Risk (VaR) using historical estimator approach for the specified range of confidence levels and the holding period implies by data frequency.
Vector corresponding to profit and loss distribution
Scalar corresponding to VaR confidence levels.
Value at Risk of the portfolio
Dowd, K. Measuring Market Risk, Wiley, 2007.
Jorion, P. Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill, 2006
Cont, R., Deguest, R. and Scandolo, G. Robustness and sensitivity analysis of risk measurement procedures. Quantitative Finance, 10(6), 2010, 593-606.
Artzner, P., Delbaen, F., Eber, J.M. and Heath, D. Coherent Risk Measures of Risk. Mathematical Finance 9(3), 1999, 203.
Foellmer, H. and Scheid, A. Stochastic Finance: An Introduction in Discrete Time. De Gryuter, 2011.
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