var_historical: Historical Value at Risk
In dandermotj/mmr: Measuring Market Risk
Description
Usage
Arguments
Value
Description
Estimate the VaR of a portfolio using the historical simulation approach
for specified confidence levels. The holding period is implied by the P/L
data passed to the function. This function uses the quantile, rather than
the method used in Measuring Market Risk - that is approximating the pdf
by drawing lines through the midpoints of a histogram.
Usage
1
var_historical(x, conf = 0.95)
Arguments
x
a vector of P/L data
conf
the confidence level
Value
VaR measure (numeric)
dandermotj/mmr documentation built on June 4, 2019, 9:26 p.m.
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Description Usage Arguments Value
Description
Estimate the VaR of a portfolio using the historical simulation approach for specified confidence levels. The holding period is implied by the P/L data passed to the function. This function uses the quantile, rather than the method used in Measuring Market Risk - that is approximating the pdf by drawing lines through the midpoints of a histogram.
Usage
1 | var_historical(x, conf = 0.95)
|
Arguments
x |
a vector of P/L data |
conf |
the confidence level |
Value
VaR measure (numeric)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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