DBPensionVaR function

Monte Carlo VaR for DB pension

Generates Monte Carlo VaR for DB pension in Chapter 6.7.

DBPensionVaR(mu, sigma, p, life.expectancy, number.trials, cl)

Arguments

• mu: Expected rate of return on pension-fund assets
• sigma: Volatility of rate of return of pension-fund assets
• p: Probability of unemployment in any period
• life.expectancy: Life expectancy
• number.trials: Number of trials
• cl: VaR confidence level

Returns

VaR for DB pension

Examples

# Estimates the price of an American Put
   DBPensionVaR(.06, .2, .05, 80, 100, .95)

Author(s)

Dinesh Acharya

References

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