VaR Normal Independent (var_risk_ni)
Contents
VaR Normal Independent. Special case of the VaR when all coefficients in Linear Loss function are independent normally distributed random values.
Syntax
var_risk_ni(α, matrix_mn,matrix_vr) |
short call |
var_risk_ni_name(α, matrix_mn,matrix_vr) |
call with optional name |
Parameters
matrix_mn is a PSG matrix of mean values:
where the header row contains names of variables. The second row contains numerical data.
matrix_vr is a PSG matrix of variance values:
where the header row contains names of variables. The second row contains numerical data.
is a confidence level.
Mathematical Definition
VaR Normal Independent function is calculated as follows:
,
where
,
,
,
is the standard normal distribution,
is probability density function of the standard normal distribution,
is an argument of VaR Normal Independent function.
Example
See also
VaR for Gain Normal Independent,
VaR,
VaR Deviation, VaR Deviation Normal Independent, VaR Deviation Normal Dependent,
VaR for Mixture of Normal Independent, VaR Deviation for Mixture of Normal Independent