Financial Toolbox

portvrisk

Portfolio value at risk

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.

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

Examples

This example computes ValueAtRisk 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
  

This example computes ValueAtRisk 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+007 *
      3.6572
      1.8684
  

See Also

frontcon, portopt

portstats

prbyzero