VaR: Value at Risk Wrapper Function

In mnquants/VaR: Portfolio Value at Risk

Description

Value at Risk Wrapper Function

Usage

VaR(vLogReturn, alpha = 0.05, n = 1e+06, delta_t = 1,
  method = "parametric", ES = FALSE)

Arguments

vLogReturn	Vector of Log Returns
alpha	Confidence level
n	Number of iterations. Default: 1000000
delta_t	Time to forecast value at risk. Default: 1
method	Method of calculation. Default: parametric. (montecarlo, historical)
ES	Expected Shortfall (Conditional VaR). Default: FALSE

Value

Value at Risk value

mnquants/VaR documentation built on May 4, 2019, 6:37 p.m.