VaR Normal Dependent (var_risk_nd)
Contents
VaR Normal Dependent. Special case of the VaR when all coefficients in Linear Loss function are mutually dependent normally distributed random values.
Syntax
var_risk_nd(α, matrix_mn,matrix_cov) |
short call |
var_risk_nd_name(α, matrix_mn,matrix_cov) |
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_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 Normal Dependent function is calculated as follows:
,
where
,
,
,
is the standard normal distribution,
is probability density function of the standard normal distribution,
is an argument of VaR Normal Dependent function.
Example
See also
VaR for Gain Normal Dependent,
VaR,
VaR Normal Independent, VaR Normal Dependent,
VaR Deviation, VaR Deviation Normal Independent, VaR Deviation Normal Dependent,
VaR for Mixture of Normal Independent, VaR Deviation for Mixture of Normal Independent