matlab 对 价值风险的评估

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

clear all;
clc;
%ftse = importdata( 'FTSE.CSV');
[ftse,TXT,RAW]=xlsread('C:\Users\michelle\Desktop\risk\table',1,'a1:g6093');
ftse = flipud( ftse);
ftse(:,1)= x2mdate(ftse(:,1));
%['start date is ' datestr(ftse(1,1),'dd-mmm-yyyy')]
%['end date is ' datestr(ftse(6092,1),'dd-mmm-yyyy')]
ret =100* diff(log(ftse(:,6)));
mu = mean (ret);
sigma = sqrt (var(ret));
prob = 0.01;
VaR_norm = abs (mu+sigma*norminv(prob,0,1));  %normal distribution
tPara = fitdist(ret,'tlocationscale'); %student t distribution
nu = tPara.nu;
VaR_stdt = abs( mu + sigma * tinv(prob, nu));
lambda = skewness(ret);
Var_skwt = abs (mu +sigma* skewtdis_inv( prob,nu,lambda));

% historical var
hist(ret,100);
sort_ret = sort(ret);
Var_hist = abs(quantile(sort_ret, prob));
%Monte Carlo Simulation

ret_simu_norm = normrnd( mu, sigma, 1000, 1);
sort_simu_norm = sort(ret_simu_norm);
VaR_simu_norm = abs(quantile(sort_simu_norm));
%hist student t distribution
ret_simu_stdt = mu +sigma*trnd(nu,1000,1);
sort_simu_stdt = sort(ret_simu_stdt);
VaR_simu_stdt = abs(quantile( sort_simu_stdt));
z = abs(norminv(prob));
skew = skewness(ret);
kurt = kurtosis(ret)-3;
VaR_CF_tilde = z+ (1/6)*skew*(z^2-1)+(1/24)*(z^3-3*z)*(kurt-3)-(1/36)*(2*(z^3)-5*z)*(skew^2)-(1/24)*(z^4-5*z^2+2)*skew*(kurt-3);
VaR_CF = mu +sigma*VaR_CF_tilde;


一直会出现这个错误， 但是我的代码里并没有p这个变量 这个是为什么？ 错误是在绿色的部分
??? Input argument "p" is undefined.
Error in ==> quantile at 24
   q = zeros(size(p));

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：MATLAB matla atlab Lab Atl michelle Desktop matlab normal sigma