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VaR-Monte carlo Simulation, Historic simulation, Variance-Covariance Simulation

Maithili Shiva 
Dear R helpers

Suppose I have a portfolio of securities with exposure to Equity, Bonds and Forex (say $ 1000000 each). 

Is there any fucntion in R that will help me calculate Value at Risk (VaR) using Monte carlo Simulation , Historic simulation and Variance - Covariance Simulation.


With regards

Maithili

Thread (3 messages)

Maithili Shiva VaR-Monte carlo Simulation, Historic simulation, Variance-Covariance Simulation Jan 8 Carlos J. Gil Bellosta VaR-Monte carlo Simulation, Historic simulation, Variance-Covariance Simulation Jan 8 Liviu Andronic VaR-Monte carlo Simulation, Historic simulation, Variance-Covariance Simulation Jan 8