CornishFisherVaR function

Corn-Fisher VaR

Function estimates the VaR for near-normal P/L using the Cornish-Fisher adjustment for non-normality, for specified confidence level.

CornishFisherVaR(mu, sigma, skew, kurtosis, cl)

Arguments

• mu: Mean of P/L distribution
• sigma: Variance of of P/L distribution
• skew: Skew of P/L distribution
• kurtosis: Kurtosis of P/L distribution
• cl: VaR confidence level

Returns

Value at Risk

Examples

# Estimates Cornish-Fisher VaR for given parameters
   CornishFisherVaR(3.2, 5.6, 2, 3, .9)

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Zangri, P. A VaR methodology for portfolios that include options. RiskMetrics Monitor, First quarter, 1996, p. 4-12.