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Risk Management tool box. hHistoricalVaRES

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Syed Hussain
Syed Hussain on 18 Jul 2020
Edited: Anmol Dhiman on 21 Jul 2020
I downloaded the risk management tool box to use the VaR and ES example. When I am using it, I am constantly getting an error that
Undefined function 'hHistoricalVaRES' for input arguments of type 'double'.
Even when I am using the example provided. Can any one please help.
I have an assignement in a few days on this.
Many thanks.

Answers (1)

Anmol Dhiman
Anmol Dhiman on 21 Jul 2020
Edited: Anmol Dhiman on 21 Jul 2020
Hi Syed,
The function hHistoricalVaRES is present in the example Expected Shortfall Estimation and Backtesting. You can try the below commands for the running the example.
restoredefaultpath % This will remove any custom paths
rehash toolboxcache
Refer to link for more details.

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