VaR Deviation. Value-at-Risk for (Linear Loss ) - (Average over Linear Loss scenarios) , i.e., α%  percentile of (Linear Loss) - (Average over Linear Loss scenarios) scenarios.  

 

Syntax

 

Parameters

matrix        is a Matrix of Scenarios:

       

where the header row contains names of variables (except scenario_probability, and scenario_benchmark). Other rows contain numerical data. The scenario_probability, and scenario_benchmark columns are optional.

is a confidence level.

Mathematical Definition

VaR Deviation function is calculated as follows:

,

where

is VaR function,

,

is Loss Function (See section Loss and Gain Functions)

is an argument of VaR Deviation function.

 

Example

 

Case Studies with VaR Deviation

 

See also

VaR Deviation for Gain,

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