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R: calc_VaRnorm()
Solbiati Alessandro edited this page Jul 31, 2016
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calc_VaRnorm<- function(Serie,conf,VaR,s_startdate,s_enddate)
##Description
Computes Value at Risk under Normal Distribution Hypothesis for the returns of the time series, if VaR==FALSE compute Expected Shortfall
##Usage
- Serie –> the time-serie object with financial data
- conf -> confidence level
- start_date -> start date for the statistical sample
- end_date -> end date for the statistical sample
- VaR -> TRUE/FALSE to compute VAR/ES