NormalVaRConfidenceInterval: Generates Monte Carlo 95% Confidence Intervals for normal VaR

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

Description

Generates 95% confidence intervals for normal VaR using Monte Carlo simulation

Usage

NormalVaRConfidenceInterval(mu, sigma, number.trials, sample.size, cl, hp)

Arguments

mu	Mean of the P/L process
sigma	Standard deviation of the P/L process
number.trials	Number of trials used in the simulations
sample.size	Sample drawn in each trial
cl	Confidence Level
hp	Holding Period

Value

95% confidence intervals for normal VaR

Author(s)

Dinesh Acharya

References

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

Examples

# Generates 95\% confidence intervals for normal VaR for given parameters
   NormalVaRConfidenceInterval(0, .5, 20, 15, .95, 90)

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