var_normal: Value At Risk for normally distributed P/L
In dandermotj/mmr: Measuring Market Risk
Description
Usage
Arguments
Value
Description
Estimate the VaR of a portfolio assuming P/L is =
normally distributed for specified confidence level and holding period.
Usage
1
var_normal(mu, sigma, conf = 0.95, holding = 1)
Arguments
mu
mean daily P/L
sigma
standard deviation of daily P/L
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 P/L is = normally distributed for specified confidence level and holding period.
Usage
1 | var_normal(mu, sigma, conf = 0.95, holding = 1)
|
Arguments
mu |
mean daily P/L |
sigma |
standard deviation of daily P/L |
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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