Estimates the percentile of VaR distribution function for normally distributed P/L, using the theory of order statistics.
The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 6. In case there 4 input arguments, the mean, standard deviation and number of observations of data are computed from returns data. See examples for details.
returns Vector of daily geometric return data
mu Mean of daily geometric return data sigma Standard deviation of daily geometric return data
n Sample size
perc Desired percentile
cl VaR confidence level and must be a scalar
hp VaR holding period and must be a a scalar
Percentiles of VaR distribution function and is scalar
Dowd, K. Measuring Market Risk, Wiley, 2007.
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