f_VaR {DiversificationR}

Function computing Value-at-Risk and modified Value-at-Risk

Description

This function computes the Value-at-Risk (VaR) or the modified Value-at-Risk (mVaR) from a vector of financial returns. mVaR is also called the Cornish-Fisher expansion of Value-at-Risk. Compared to classic VaR, mVaR adequately accounts for the non-normality of returns.

Usage

f_VaR(v_input_data, b_input_var_modified, input_prob)

Arguments

v_input_data

A vector including an asset or portfolio returns

b_input_var_modified

A boolean to compute VaR or mVaR

input_prob

A numerical value (probability)

Value

result

A numeric value

Author(s)

Jean-Baptiste Hasse

References

Cornish, Edmund A., and Ronald A. Fisher. "Moments and cumulants in the specification of distributions." Revue de l'Institut international de Statistique (1938): 307-320.

Jorion, Philippe. "Risk2: Measuring the risk in value at risk." Financial analysts journal 52.6 (1996): 47-56.

Examples

# NOT RUN {

  # Load data
  data("data_efficient_portfolios_returns")

  # Prepare variables
  v_port <- data_efficient_portfolios_returns[,1]

  # Compute VaR
  f_VaR(v_port, FALSE, 0.95)

  # Compute modified VaR
  f_VaR(v_port, TRUE, 0.95)

# }