VarianceCovarianceVaR {Dowd}

Variance-covariance VaR for normally distributed returns

Description

Estimates the variance-covariance VaR of a portfolio assuming individual asset returns are normally distributed, for specified confidence level and holding period.

Usage

VarianceCovarianceVaR(vc.matrix, mu, positions, cl, hp)

Arguments

vc.matrix

Assumed variance covariance matrix for returns

mu

Vector of expected position returns

positions

Vector of positions

cl

Confidence level and is scalar or vector

hp

Holding period and is scalar or vector

Author(s)

Dinesh Acharya

References

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

See Also

AdjustedVarianceCovarianceVaR

Examples

# Variance-covariance VaR for randomly generated portfolio
   vc.matrix <- matrix(rnorm(16),4,4)
   mu <- rnorm(4)
   positions <- c(5,2,6,10)
   cl <- .95
   hp <- 280
   VarianceCovarianceVaR(vc.matrix, mu, positions, cl, hp)