CornishFisherVaR: Corn-Fisher VaR

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

Function estimates the VaR for near-normal P/L using the Cornish-Fisher adjustment for non-normality, for specified confidence level.

Usage

CornishFisherVaR(mu, sigma, skew, kurtosis, cl)

Arguments

mu	Mean of P/L distribution
sigma	Variance of of P/L distribution
skew	Skew of P/L distribution
kurtosis	Kurtosis of P/L distribution
cl	VaR confidence level

Value

Value at Risk

Author(s)

Dinesh Acharya

References

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

Zangri, P. A VaR methodology for portfolios that include options. RiskMetrics Monitor, First quarter, 1996, p. 4-12.

Examples

# Estimates Cornish-Fisher VaR for given parameters
   CornishFisherVaR(3.2, 5.6, 2, 3, .9)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
Registered S3 method overwritten by 'quantmod':
  method            from
  as.zoo.data.frame zoo 
[1] 4.145348

Dowd documentation built on May 2, 2019, 6:15 p.m.