| var2stocks {GUIDE} | R Documentation |
Calculate the value at risk of two stocks.
Description
Function to calculate the value at risk of two stocks.
Usage
var2stocks()
Details
The user inputs are as follows:
Value of the first stock: to be entered in numbers for e.g. 110.50
Value of the second stock: to be entered in numbers for e.g. 170.50
mu1: the expected return- to be entered in decimals. For e.g. 0.05 for 5 per cent
mu2: the expected return- to be entered in decimals. For e.g. 0.06 for 6 per cent
Sigma1 (or Volatility) per annum: to be entered in decimals. For e.g. 0.25 for 25 per cent
Sigma2 (or Volatility) per annum: to be entered in decimals. For e.g. 0.3 for 30 per cent
Confidence level: to be entered in decimals. For e.g. 0.95 for 95 per cent
Correlation: a number between -1 and +1 to be entered in decimals. For e.g. 0.6
Horizon (in months): For e.g. enter 12 for a year
Distribution: chosen between normal/lognormal
Value
The dollar value at risk of two stocks.
Author(s)
S Subramanian <ssubramanian@sssihl.edu.in>
References
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.