[R] Value at Risk historical simulation

Spencer Graves spencer.graves at pdf.com
Sun Nov 12 20:00:06 CET 2006

      Have you looked at the 'VaR' package?  If nothing in this package 
seems adequate for your purposes, please provide minimal, 
self-contained, reproducible code while explaining what it seems to 
lack, etc., as suggested in the posting guide 

      Hope this helps. 
      Spencer Graves

Benjamin Dickgiesser wrote:
> Hi
> Has someone got a package/script at hand to do a historical simulation
> to calculate the Value at Risk?
> If your not sure what Historical Simulation is:
> In simple terms, Historical Simulation (HS) is just taking sample
> percentiles over a moving sample. Suppose we want to use HS to predict
> a portfolio's Value-at-Risk at a confidence level of 99 percent and
> the window size is chosen to be 250 trading days. Then the 1 percent
> sample percentile is some amount between the second worst portfolio
> loss and the third worst portfolio loss (since 250 × 0.01 = 2.5). We
> decide to determine the Value-at-Risk through interpolation; in this
> case the VaR lies halfway between the second worst portfolio loss and
> the third worst portfolio loss.
> Benjamin
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> and provide commented, minimal, self-contained, reproducible code.

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