Thanks Brian for your suggestion. However I could not get actually what you said. Would you be more specific? I would be more happy if I can understand the theory rather than just to get a number. Thanks, -----Original Message----- From: Brian G. Peterson [mailto:brian at braverock.com] Sent: 18 April 2010 23:53 To: Bogaso Subject: Re: [R-SIG-Finance] A Value at Risk question Use Return.rebalancing and VaR functions.
"Bogaso" <bogaso.christofer at gmail.com> wrote:
Hi all, I need to calculate Value at Risk in Parametric setup for a typical client defined exotic portfolio. Suppose currently I own 10 units of some asset say it is A and in next 10 days (say, "i" which runs from 1 to 10) and I would sell each unit of "A" in next 10 days, and put the proceeding in some risk free bond for (30-i) days, I assume there would not be any day-by-day change in the interest offerings by that risk free Bond i.e. a non-stochastic nature of risk free rate is assumed. My goal is to calculate 1-day VaR under Parametric setup at time "t=0" for that portfolio. Would it be like simple "-1.96*10*S(0)*sigma"? Your help will be highly appreciated. Thanks, -- View this message in context: http://n4.nabble.com/A-Value-at-Risk-question-tp2014925p2014925.html Sent from the Rmetrics mailing list archive at Nabble.com.
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