Description Usage Arguments Value Author(s) References Examples
Derives VaR using bivariate Product or logistic copula with specified inputs for normal marginals.
1 | ProductCopulaVaR(mu1, mu2, sigma1, sigma2, cl)
|
mu1 |
Mean of Profit/Loss on first position |
mu2 |
Mean of Profit/Loss on second position |
sigma1 |
Standard Deviation of Profit/Loss on first position |
sigma2 |
Standard Deviation of Profit/Loss on second position |
cl |
VaR onfidece level |
Copula based VaR
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
Dowd, K. and Fackler, P. Estimating VaR with copulas. Financial Engineering News, 2004.
1 2 | # VaR using bivariate Product for X and Y with given parameters:
ProductCopulaVaR(.9, 2.1, 1.2, 1.5, .95)
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