Calculates Historical Value at Risk for a given portfolio of returns.
confidence_level = 0.95;
plot_flag = true;
VAR_hist = computeHistoricalVaR(returns,confidence_level,plot_flag)
David Willingham (2020). Historical Value At Risk (https://www.mathworks.com/matlabcentral/fileexchange/38848-historical-value-at-risk), MATLAB Central File Exchange. Retrieved .
Is it possible to get a modified version for Relative VaR (relative to S&P500 for example)?
thanks for this nice contribution.
Thank you very much!!
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?