Parametric Value At Risk

Version 1.0.0.1 (11.5 KB) by David Willingham
Computes the Parametric Value at Risk for a given Portfolio
3.3
(3)
1.2K Downloads
Updated 1 Sep 2016

View License

E.g.
confidence_level = 0.95;
plot_flag = true;
figure
VAR_hist = computeParametricVaR(returns,confidence_level,plot_flag)

Cite As

David Willingham (2024). Parametric Value At Risk (https://www.mathworks.com/matlabcentral/fileexchange/38849-parametric-value-at-risk), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Published Release Notes
1.0.0.1

Updated license
1.0.0.0