var1stock {GUIDE}

Calculate the value at risk of a single stock.

Description

Function to calculate the value at risk of a single stock.

Usage

var1stock()

Details

The user inputs are as follows:
Value of the stock: to be entered in numbers for e.g. 110.50
mu: the expected return- to be entered in decimals. For e.g. 0.05 for 5 per cent
Sigma (or Volatility) per annum: to be entered in decimals. For e.g. 0.25 for 25 per cent
Confidence level: to be entered in decimals. For e.g. 0.95 for 95 per cent
Horizon (in months): For e.g. enter 12 for a year
Distribution: chosen between normal/lognormal

Value

The dollar value at risk of a single stock.

Author(s)

S Subramanian <[e-mail]>

References

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

See Also

var2stocks