[R-SIG-Finance] rare event simulation

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Wed Apr 30 10:57:00 CEST 2008

>Hello R users:
>I wonder if somebody can be kind enough to share some 
>information about rare event simulation, e.g. referecne, 
>coding, packages.

Hello Wei-han,

do you mean by rare event simulation extreme value theory (EVT) and risk
measures like VaR and ES? If so, the following CRAN-packages might be of
interest to you:

evd, fExtremes, ismev, POT, QRMlib and VaR

Have a look at the "Finance" task view (bullet point "Risk management")
on CRAN.


>Many thanks to your attention.
>Wei-han Liu
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