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Value-at-risk
2 messages · Emmanuel Senyo, Brian G. Peterson
On Thu, 2011-05-12 at 12:38 +0200, Emmanuel Senyo wrote:
Dear All, I am currently work on Value-at-risk and would like to know the package that is helpful in this regard. It consist of three method, that is variance covariance method, Monte carlo simulation, and Historical simulation. Regards Em
The Gaussian and Historical methods are available in PerformanceAnalytics. You can easily use the Monte Carlo method of your choice to create a longer sample, and then use PerformanceAnalytics to calculate the VaR. There are also several bootstrap Monte Carlo methods in PerformanceAnalytics that have been contributed by Eric Zivot, but which we have not yet documented and exposed. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock