Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: VaR
See also: VaRcopula VaRest VaRopt VaRestMC

Quantlet: VaRestMCcopula
Description: estimates VaR for a given portfolio using copulas

Link:
Usage: VaRMCc = VaRestMCcopula(history,portfolio,mycopula,opt)
Input:
history n x 2 matrix of the history of the shares
portfolio 2 x 1 vector, the portfolio
mycopula scalar, integer between 1 and 22, selects the copula; see VaRcopula for details
opt.alpha scalar, significance level for VaR estimation. (Default = 0.01)
opt.nsimu scalar, number of Monte-Carlo simulations. (Default = 1000)
Output:
VaRMCc list containing the copula parameter and the VaR

Example:
library("VaR")
randomize(1)
hist=normal(100,2)
opt=VaRopt("alpha",0.01,"nsimu",1000)
VaRestMCcopula(hist,1|2,4,opt)

Result:
Contents of VaRMCc.theta
[1,]   1.2905
Contents of VaRMCc.VaR
[1,]  -5.3862



Author: J. Rank, T. Siegl, Z. Hlavka, 20010725
(C) MD*TECH Method and Data Technologies, 05.02.2006