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Historical Value At Risk

version 1.0.0.1 (11.4 KB) by David Willingham
Calculates Historical Value at Risk for a given portfolio of returns

8 Downloads

Updated 01 Sep 2016

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Calculates Historical Value at Risk for a given portfolio of returns.
E.g.

confidence_level = 0.95;
plot_flag = true;
figure
VAR_hist = computeHistoricalVaR(returns,confidence_level,plot_flag)

Cite As

David Willingham (2020). Historical Value At Risk (https://www.mathworks.com/matlabcentral/fileexchange/38848-historical-value-at-risk), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (9)

Shan C.

Is it possible to get a modified version for Relative VaR (relative to S&P500 for example)?

Shan C.

Competent author.
thanks for this nice contribution.

Thank you very much!!

Thank you!

Chen Chen

Hi, thanks for the contribution. I have one question about the plotting of historical VaR. Since we don't use a normal fit here, it is obviously unreasonable that the y-axis still shows the normal fit number, how can I make y-axis the frequency of the data?

Taylor Xie

Updates

1.0.0.1

Updated license

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
Windows macOS Linux