HSVaR function

Value at Risk of a portfolio using Historical Estimator

Estimates the Value at Risk (VaR) using historical estimator approach for the specified range of confidence levels and the holding period implies by data frequency.

HSVaR(Ra, Rb)

Arguments

• Ra: Vector corresponding to profit and loss distribution
• Rb: Scalar corresponding to VaR confidence levels.

Returns

Value at Risk of the portfolio

Examples

# To be added
   a <- rnorm(1000) # Payoffs of random portfolio
   HSVaR(a, .95)

Author(s)

Dinesh Acharya

References

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

Jorion, P. Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill, 2006

Cont, R., Deguest, R. and Scandolo, G. Robustness and sensitivity analysis of risk measurement procedures. Quantitative Finance, 10(6), 2010, 593-606.

Artzner, P., Delbaen, F., Eber, J.M. and Heath, D. Coherent Risk Measures of Risk. Mathematical Finance 9(3), 1999, 203.

Foellmer, H. and Scheid, A. Stochastic Finance: An Introduction in Discrete Time. De Gryuter, 2011.