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portvrisk

Portfolio value at risk (VaR)

Syntax

ValueAtRisk = portvrisk(PortReturn, PortRisk, RiskThreshold,
PortValue)

Arguments

PortReturn

Number of portfolios (NPORTS)-by-1 vector or scalar of the expected return of each portfolio over the period.

PortRisk

NPORTS-by-1 vector or scalar of the standard deviation of each portfolio over the period.

RiskThreshold

(Optional) NPORTS-by-1 vector or scalar specifying the loss probability. Default = 0.05 (5%).

PortValue

(Optional) NPORTS-by-1 vector or scalar specifying the total value of asset portfolio. Default = 1.

Description

ValueAtRisk = portvrisk(PortReturn, PortRisk, RiskThreshold, PortValue) returns the maximum potential loss in the value of a portfolio over one period of time, given the loss probability level RiskThreshold.

ValueAtRisk is an NPORTS-by-1 vector of the estimated maximum loss in the portfolio, predicted with a confidence probability of 1- RiskThreshold. portvrisk calculates ValueAtRisk using a normal distribution.

If PortValue is not given, ValueAtRisk is presented on a per-unit basis. A value of 0 indicates no losses.

Examples

expand all

Compute the Maximum Potential Loss in the Value of a Portfolio Over One Period of Time

This example shows how to return the maximum potential loss in the value of a portfolio over one period of time, where ValueAtRisk is computed on a per-unit basis.

PortReturn = 0.29/100;
PortRisk = 3.08/100;
RiskThreshold = [0.01;0.05;0.10];
PortValue = 1;
ValueAtRisk = portvrisk(PortReturn,PortRisk,...
RiskThreshold,PortValue)
ValueAtRisk =

    0.0688
    0.0478
    0.0366

Compute the Maximum Potential Loss in the Value of a Portfolio Over One Period of Time Using Actual Values

This example shows how to return the maximum potential loss in the value of a portfolio over one period of time, where ValueAtRisk is computed with actual values.

PortReturn = [0.29/100;0.30/100];
PortRisk = [3.08/100;3.15/100];
RiskThreshold = 0.10;
PortValue = [1000000000;500000000];
ValueAtRisk = portvrisk(PortReturn,PortRisk,...
RiskThreshold,PortValue)
ValueAtRisk =

   1.0e+07 *

    3.6572
    1.8684

See Also

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