var_lognormal: Value at Risk for lognormally distributed P/L
In dandermotj/mmr: Measuring Market Risk
Description
Usage
Arguments
Value
Description
Estimate the VaR of a portfolio assuming that geometric returns are
normally distributed, for specified confidence level and holding
period.
Usage
1
var_lognormal(mu, sigma, investment, conf = 0.95, holding = 1)
Arguments
mu
mean daily P/L
sigma
standard deviation of daily P/L
investment
the size of investment
conf
the confidence level
holding
the holding period in days
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 assuming that geometric returns are normally distributed, for specified confidence level and holding period.
Usage
1 | var_lognormal(mu, sigma, investment, conf = 0.95, holding = 1)
|
Arguments
mu |
mean daily P/L |
sigma |
standard deviation of daily P/L |
investment |
the size of investment |
conf |
the confidence level |
holding |
the holding period in days |
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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