PerformanceAnalytics (version 0.9.7.1)

VaR.Marginal: Calculate the Marginal VaR of each element of a portfolio

Description

Marginal VaR is the difference between the VaR of the portfolio without the asset in question and the entire portfolio. This function calculates Marginal VaR for all instruments in the portfolio.

Usage

VaR.Marginal(R, p = 0.99, modified = TRUE, weightingvector=NULL)

Arguments

R

a vector, matrix, data frame, timeSeries or zoo object of asset returns or the components

p

confidence level for calculation, default p=.99

modified

TRUE/FALSE whether to use Cornish-Fisher VaR

weightingvector

vector of weights for each element in the portfolio

Value

• matrix of Marginal VaRs

References

Denton M. and Jayaraman, J.D. Incremental, Marginal, and Component VaR. Sunguard. 2004.

See Also

VaR.CornishFisher

Examples

data(edhec)
    # construct a weighting vector for an equally weighted portfolio
    assets=dim(edhec)[2]
    eqweight=t(rep(1/assets, assets))
    VaR.Marginal(R=edhec,p=0.99,weightingvector=eqweight)