[R] Value-at-Risk Portfolio(both equity and option)

Cedrick Johnson cedrick at cedrickjohnson.com
Wed Mar 31 04:13:10 CEST 2010

Check out this discussion on r-sig-finance regarding VaR for options.
Quite informative and should be a good starting point.


On 3/30/10, zhang <yn19832 at msn.com> wrote:
> Hello All,
> I am working on the risk measures for a portfolio, which contain both equity
> futures, equity options and currency options. There are many packages
> related with the portoflio which only contain the equities,I wonder whether
> there is any avaible package that could include the option.
> Thank you.
> --
> View this message in context:
> http://n4.nabble.com/Value-at-Risk-Portfolio-both-equity-and-option-tp1745179p1745179.html
> Sent from the R help mailing list archive at Nabble.com.
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

Sent from my mobile device

More information about the R-help mailing list