StopLossLogNormalVaR: Log Normal VaR with stop loss limit

Description Usage Arguments Value Author(s) References Examples

View source: R/StopLossLogNormalVaR.R

Description

Generates Monte Carlo lognormal VaR with stop-loss limit

Usage

1
StopLossLogNormalVaR(mu, sigma, number.trials, loss.limit, cl, hp)

Arguments

mu

Mean arithmetic return

sigma

Standard deviation of arithmetic return

number.trials

Number of trials used in the simulations

loss.limit

Stop Loss limit

cl

Confidence Level

hp

Holding Period

Value

Lognormal VaR

Author(s)

Dinesh Acharya

References

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

Examples

1
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# Estimates standard error of normal quantile estimate
   StopLossLogNormalVaR(0, .2, 100, 1.2, .95, 10)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 0.710455

Dowd documentation built on May 30, 2017, 1:30 a.m.