[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
Joe
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