topic Re: Value at Risk in QlikView

Value at Risk

Mon, 05 Jan 2015 09:14:33 GMT

Hi, i am new to qlikview and i'd like to make an application that has an input some tables from yahoo finance and then calculates the VaR (Value at Risk) , but i have some problems with the formula.

In the input file i need the field avg[Adj Close], Stdev[Adj Close] and a sum of money

I tried with:

(exp(Avg([Adj Close])+ Stdev([Adj Close])*NORM(0.05))-1)*120000) as VaR_5%

but the result the formula doesn't work

In r the formula is VaR = (exp(mean+ stdev*qnorm(0.05)) -1)*120000

where qnorm is a normal distribution with a confidence intervals at 95%.

the main problem is that i don't found the corrispondence qnorm formula in qlik

Can anyone help me with the cc returns formula? Thanks in advance and sorry for my bad english

Re: Value at Risk

alkesh_sharma — Mon, 05 Jan 2015 09:25:44 GMT

Post a sample file.

Re: Value at Risk

Anonymous — Mon, 05 Jan 2015 09:32:03 GMT

Post a sample file......

Re: Value at Risk

Mon, 05 Jan 2015 09:47:53 GMT

@venkatasreekanth2020

here the file .qvw and the cvs table.

Re: Value at Risk

jonathandienst — Mon, 05 Jan 2015 10:07:42 GMT

This should do it:

(exp(Avg([Adj Close])+ Stdev([Adj Close])*NORMINV(0.05,0,1))-1)*120000

HTH

Jonathan

Re: Value at Risk

Mon, 05 Jan 2015 10:21:36 GMT

Thanks it seems work.