StopLossLogNormalVaR {Dowd}

Log Normal VaR with stop loss limit

Description

Generates Monte Carlo lognormal VaR with stop-loss limit

Usage

StopLossLogNormalVaR(mu, sigma, number.trials, loss.limit, cl, hp)

Arguments

mu

Mean arithmetic return

sigma

Standard deviation of arithmetic return

number.trials

Number of trials used in the simulations

loss.limit

Stop Loss limit

cl

Confidence Level

hp

Holding Period

Value

Lognormal VaR

Author(s)

Dinesh Acharya

References

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

Examples

# Estimates standard error of normal quantile estimate
   StopLossLogNormalVaR(0, .2, 100, 1.2, .95, 10)