DCPensionVaR {Dowd} | R Documentation |
Monte Carlo VaR for DC pension
Description
Generates Monte Carlo VaR for DC pension in Chapter 6.7.
Usage
DCPensionVaR(mu, sigma, p, life.expectancy, number.trials, cl)
Arguments
mu |
Expected rate of return on pension-fund assets |
sigma |
Volatility of rate of return of pension-fund assets |
p |
Probability of unemployment in any period |
life.expectancy |
Life expectancy |
number.trials |
Number of trials |
cl |
VaR confidence level |
Value
VaR for DC pension
Author(s)
Dinesh Acharya
References
Dowd, Kevin. Measuring Market Risk, Wiley, 2007.
Examples
# Estimates the price of an American Put
DCPensionVaR(.06, .2, .05, 80, 100, .95)
[Package Dowd version 0.12 Index]