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

Joe Byers joe-byers at utulsa.edu
Mon Aug 28 18:23:11 CEST 2006

I should have been a little more specific.  I need help simulating the 
correlated assets.

Joe Byers wrote:
> 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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