Parametric Value at Risk Calculator
Requires a Wolfram Notebook System
Interact on desktop, mobile and cloud with the free Wolfram CDF Player or other Wolfram Language products.
Requires a Wolfram Notebook System
Edit on desktop, mobile and cloud with any Wolfram Language product.
Value at Risk (VaR) is the theoretical worst loss (a maximum amount of money that may be lost) for a portfolio over a given time period at a particular confidence level. The parametric model, one of a few methods for VaR calculations, is accurate for linear assets for short time horizons. For details, see [1].
Contributed by: Grzegorz Szoniec (March 2014)
Open content licensed under CC BY-NC-SA
Snapshots
Details
Reference
[1] P. Best, Implementing Value at Risk, New York: Wiley, 1998.
Permanent Citation
"Parametric Value at Risk Calculator"
http://demonstrations.wolfram.com/ParametricValueAtRiskCalculator/
Wolfram Demonstrations Project
Published: March 28 2014