VarianceCovarianceVaR: Variance-covariance VaR for normally distributed returns

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

Description

Estimates the variance-covariance VaR of a portfolio assuming individual asset returns are normally distributed, for specified confidence level and holding period.

Usage

VarianceCovarianceVaR(vc.matrix, mu, positions, cl, hp)

Arguments

vc.matrix	Assumed variance covariance matrix for returns
mu	Vector of expected position returns
positions	Vector of positions
cl	Confidence level and is scalar or vector
hp	Holding period and is scalar or vector

Author(s)

Dinesh Acharya

References

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

See Also

AdjustedVarianceCovarianceVaR

Examples

# Variance-covariance VaR for randomly generated portfolio
   vc.matrix <- matrix(rnorm(16),4,4)
   mu <- rnorm(4)
   positions <- c(5,2,6,10)
   cl <- .95
   hp <- 280
   VarianceCovarianceVaR(vc.matrix, mu, positions, cl, hp)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
          [,1]
[1,] -293.8878

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