StopLossLogNormalVaR function

Log Normal VaR with stop loss limit

Generates Monte Carlo lognormal VaR with stop-loss limit

StopLossLogNormalVaR(mu, sigma, number.trials, loss.limit, cl, hp)

Arguments

• mu: Mean arithmetic return
• sigma: Standard deviation of arithmetic return
• number.trials: Number of trials used in the simulations
• loss.limit: Stop Loss limit
• cl: Confidence Level
• hp: Holding Period

Returns

Lognormal VaR

Examples

# Estimates standard error of normal quantile estimate
   StopLossLogNormalVaR(0, .2, 100, 1.2, .95, 10)

Author(s)

Dinesh Acharya

References

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