vcVaR Function

Versione 1.1.0.0 (10,9 KB) da Ali Najjar
Estimation value at risk by using Variance-Covariance Method.
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Aggiornato 27 ago 2012

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

Cita come

Ali Najjar (2025). vcVaR Function (https://it.mathworks.com/matlabcentral/fileexchange/32313-vcvar-function), MATLAB Central File Exchange. Recuperato .

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Creato con R2010b
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vcVaR/

Versione Pubblicato Note della release
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