VaR Deviation Normal Independent (var_ni_dev)
Contents
VaR Deviation Normal Independent. Special case of the VaR Deviation when all coefficients in Linear Loss function are independent normally distributed random values.
Syntax
var_ni_dev(α, matrix_mn,matrix_vr) |
short call |
var_ni_dev_name(α, matrix_mn,matrix_vr) |
call with optional name |
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_vr is a PSG matrix of variance values:
where the header row contains names of variables. The second row contains numerical data.
is a confidence level.
Mathematical Definition
VaR Deviation Normal Independent function is calculated as follows:
,
where
is VaR Normal Independent function,
,
is Loss Function (See section Loss and Gain Functions),
,
, 
is the standard normal distribution.
is an argument of VaR Deviation Normal Independent function.
Remarks
matrix_mn do not used in the calculation of VaR Deviation Normal Independent function.
Example
See also
VaR Deviation for Gain Normal Independent,
VaR,
VaR Normal Independent, VaR Normal Dependent,
VaR Deviation, VaR Deviation Normal Dependent,
VaR for Mixture of Normal Independent, VaR Deviation for Mixture of Normal Independent