DCPensionVaR: Monte Carlo VaR for DC pension
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Generates Monte Carlo VaR for DC pension in Chapter 6.7.

1	DCPensionVaR(mu, sigma, p, life.expectancy, number.trials, cl)

`mu`	Expected rate of return on pension-fund assets
`sigma`	Volatility of rate of return of pension-fund assets
`p`	Probability of unemployment in any period
`life.expectancy`	Life expectancy
`number.trials`	Number of trials
`cl`	VaR confidence level

VaR for DC pension

Dinesh Acharya

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

1 2	# Estimates the price of an American Put DCPensionVaR(.06, .2, .05, 80, 100, .95)

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

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