VaR Risk for Gain. Value-at-Risk for -(Linear Loss ) scenarios, i.e., α%  percentile of -(Linear Loss) 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 Risk for Gain function is calculated as follows:

,

where

is VaR function,

is Loss function (See section Loss and Gain Functions),

is an argument of VaR Risk for Gain function.

 

Example

 

Case Studies with VaR for Gain

 

See also

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