[R-SIG-Finance] modifiedVaR at coskewness, cokurtosis, and higher beta co-moments of the return

karl endres endres.karl at web.de
Tue Feb 26 19:28:31 CET 2008


Hello, i think in the formula at the line with the quantil's its something wrong with the modified VaR

if ( p == 0.95 ) {
        zc = -1.96


zc is for alpha = 0.025 and not for 0.05 
or not ?

have a nice day

_____________________________________________________________________
Unbegrenzter Speicherplatz für Ihr E-Mail Postfach? Jetzt aktivieren!
http://www.digitaledienste.web.de/freemail/club/lp/?lp=7



More information about the R-SIG-Finance mailing list