[R-SIG-Finance] Risk management research simulation questions

Joe Byers joe-byers at utulsa.edu
Mon Aug 28 17:40:59 CEST 2006

Rmetrics group,

I am working on a project to determine the errors associated with 
structural assumptions underlying a companies Value at Risk calculation. 
  Normal VAR calculations using a covariance matrix for the portfolio 
assume constant mean or zero mean if the returns are mean adjusted. 
This project calls for creating 4-5 hypothetical assets, 1 constant mean 
and variance, 1 seasonal mean and constant variance, 1 constant mean and 
seasonal variance, 1 time varying mean (AR or Garch in mean), 1 time 
varying variance (GARCH type).  I want to provide the hypothetical 
parameters for these assets and simulate returns.  I can simulate each 
of these assets as independent but really need correlated errors.

These returns will be used to calculate a benchmark risk metrics type 
VAR and then progess through correcting the VAR calculations for each 
case of asses type.

Anyone that is interested, I would appreciate suggestions.  I am also 
favoring co-authorship for this help.

Thank you

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