Parametric Value At Risk
Computes the Parametric Value at Risk for a given Portfolio
You are now following this Submission
- You will see updates in your followed content feed
- You may receive emails, depending on your communication preferences
E.g.
confidence_level = 0.95;
plot_flag = true;
figure
VAR_hist = computeParametricVaR(returns,confidence_level,plot_flag)
Cite As
David Willingham (2026). Parametric Value At Risk (https://au.mathworks.com/matlabcentral/fileexchange/38849-parametric-value-at-risk), MATLAB Central File Exchange. Retrieved .
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers
General Information
- Version 1.0.0.1 (11.5 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
