VaR Deviation Normal Dependent. Special case of the VaR Deviation when all coefficients in Linear Loss function are mutually dependent normally distributed random values

 

Syntax

 

Parameters

matrix_mn        is a PSG matrix of mean values:

 

where the header row contains names of variables. The second row contains numerical data.

 

matrix_cov        is a PSG matrix of covariance values:

 

where the header row contains names of variables. Other rows contain numerical data.

       is a confidence level.

Mathematical Definition

VaR Deviation Normal Dependent function is calculated as follows:

,

where

is VaR Normal Dependent function,

,

is Loss Function (See section Loss and Gain Functions),

,

, is the standard normal distribution.

is an argument of VaR Deviation Normal Dependent function.

 

Remarks

matrix_mn do not used in the calculation of VaR Deviation Normal Dependent function.

 

Example

 

See also

VaR Deviation for Gain Normal Dependent,

VaR,

VaR Normal Independent, VaR  Normal Dependent,

VaR Deviation, VaR Deviation Normal Independent,

VaR for Mixture of Normal Independent, VaR Deviation for Mixture of Normal Independent