Re: VAR Calculations

Posted by Ferdinando M. Ametrano-3 on Oct 08, 2003; 6:30am
URL: http://quantlib.414.s1.nabble.com/VAR-Calculations-tp2708p2709.html

At 05:39 AM 10/8/2003 -0400, Arva Williams-Clarke wrote:
>I am trying to understand the VAR function in QuantlibXL i.e:
>qlValueAtRisk(percentile,mean,variance)
>This notation seems to be a little bit different
>Mean of what?
>How come variance instead of standard deviation?

You might be referring to the wrong cell label "variance" in an example
spreadsheet. The function actually requires standard deviation as input, as
correctly specified by the function wizard.

Mean and standard deviation refer to a gaussian distribution of returns,
which is the underlying assumption for the QuantLibXL risk measures
currently available.
QuantLib C++ also includes the same risk measures for generic empirical
(non-guassian) distribution, but such measures are not exported to Excel yet.

I will fix the examples and try to export more function in the next
QuantLibXL release.

ciao -- Nando