StopLossLogNormalVaR: Log Normal VaR with stop loss limit

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

Description

Generates Monte Carlo lognormal VaR with stop-loss limit

Usage

StopLossLogNormalVaR(mu, sigma, number.trials, loss.limit, cl, hp)

Arguments

mu	Mean arithmetic return
sigma	Standard deviation of arithmetic return
number.trials	Number of trials used in the simulations
loss.limit	Stop Loss limit
cl	Confidence Level
hp	Holding Period

Value

Lognormal VaR

Author(s)

Dinesh Acharya

References

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

Examples

# Estimates standard error of normal quantile estimate
   StopLossLogNormalVaR(0, .2, 100, 1.2, .95, 10)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 0.710455

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