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