ProductCopulaVaR {Dowd} | R Documentation |

## Bivariate Product Copule VaR

### Description

Derives VaR using bivariate Product or logistic copula with specified inputs for normal marginals.

### Usage

```
ProductCopulaVaR(mu1, mu2, sigma1, sigma2, cl)
```

### Arguments

`mu1` |
Mean of Profit/Loss on first position |

`mu2` |
Mean of Profit/Loss on second position |

`sigma1` |
Standard Deviation of Profit/Loss on first position |

`sigma2` |
Standard Deviation of Profit/Loss on second position |

`cl` |
VaR onfidece level |

### Value

Copula based VaR

### Author(s)

Dinesh Acharya

### References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Dowd, K. and Fackler, P. Estimating VaR with copulas. Financial Engineering News, 2004.

### Examples

```
# VaR using bivariate Product for X and Y with given parameters:
ProductCopulaVaR(.9, 2.1, 1.2, 1.5, .95)
```

[Package

*Dowd*version 0.12 Index]