[R-SIG-Finance] fPortfolio inverse VaR function
henry.ward at me.com
Wed Mar 30 19:19:00 CEST 2011
I am using fPortfolio (great package) to do Cornish Fisher VaR calculations. I'm interested in also using the inverse function. So instead of calculating the p=95% -> VaR = 2.4% I'd like to assign a VaR threshold of VaR = 2.4% -> p=95%.
This is the simple qnorm function for gaussian distributions but I want to use Brian's implementation of the Cornish Fisher distribution. Any help on a simple way I can write or find this function?
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