SAS

VARs in SAS: VAR, TVAR, and RVAR

In a previous post,┬ávarious┬árisk measures were introduced and their functions were provided in R. Since the code to calculate VAR, TVAR, and RVAR is quite simple for the historical simulation approach, I've decided to provide these same functions in SAS. And to call on these functions, given an arbitrary dataset "portfolio" with column "balance" and confidence level of 95% (or…