Risk Management tool box. hHistoricalVaRES

Hi,

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.

Answer 1

[Anmol Dhiman]

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
savepath

Refer to link for more details.

Regards,

Anmol