5 Replies Latest reply: Jan 5, 2015 5:21 AM by Simone Crisafio RSS

    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