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Value at Risk

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

1 Solution

Accepted Solutions
MVP
MVP

Re: Value at Risk

Hi

This should do it:

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

HTH

Jonathan

Logic will get you from a to b. Imagination will take you everywhere. - A Einstein
5 Replies
alkesh_sharma
Contributor II

Re: Value at Risk

Post a sample file.

venkatasreekant
Valued Contributor

Re: Value at Risk


Post a sample file......

Not applicable

Re: Value at Risk

@venkatasreekanth2020

here the file .qvw and the cvs table.

MVP
MVP

Re: Value at Risk

Hi

This should do it:

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

HTH

Jonathan

Logic will get you from a to b. Imagination will take you everywhere. - A Einstein
Not applicable

Re: Value at Risk

Thanks it seems work.

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