vcVaR Function

Version 1.1.0.0 (10,9 KB) von Ali Najjar
Estimation value at risk by using Variance-Covariance Method.
4.0
(1)
404 Downloads
Aktualisiert 27. Aug 2012

Lizenz anzeigen

This function estimates the value at risk of portfolio composed of two stock prices and sketch related figures at two given confidence of levels.

Zitieren als

Ali Najjar (2024). vcVaR Function (https://www.mathworks.com/matlabcentral/fileexchange/32313-vcvar-function), MATLAB Central File Exchange. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2010b
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
Kategorien
Mehr zu Risk Management Toolbox finden Sie in Help Center und MATLAB Answers

Community Treasure Hunt

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

Start Hunting!

vcVaR/

Version Veröffentlicht Versionshinweise
1.1.0.0

This update contains example of vcVaR()Arguments, P1, P2.
Just move P1 and P2 into Workspace and for example Run following command:
[VaR violation RP]=vcVaR(P1,P2,1000,0.5,[.95;.99])
1.0.0.0