Description Usage Arguments Value Author(s) References Examples

View source: R/StopLossLogNormalVaR.R

Generates Monte Carlo lognormal VaR with stop-loss limit

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

`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 |

Lognormal VaR

Dinesh Acharya

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

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

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

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