Function to calculate the value at risk of a single stock.
var1stock()The dollar value at risk of a single stock.
The user inputs are as follows: Value of the stock: to be entered in numbers for e.g. 110.50 mu: the expected return- to be entered in decimals. For e.g. 0.05 for 5 per cent Sigma (or Volatility) per annum: to be entered in decimals. For e.g. 0.25 for 25 per cent Confidence level: to be entered in decimals. For e.g. 0.95 for 95 per cent Horizon (in months): For e.g. enter 12 for a year Distribution: chosen between normal/lognormal
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.