[R-SIG-Finance] [R-sig-finance] Commodity swap?

Robert Iquiapaza rbali at ufmg.br
Thu Mar 12 15:50:13 CET 2009

Maybe this book is useful

Measuring market risk with value at risk
by Pietro Penza, Vipul K. Bansal

Good luck

From: "Bogaso" <bogaso.christofer at gmail.com>
Sent: Thursday, March 12, 2009 11:02 AM
To: <r-sig-finance at stat.math.ethz.ch>
Subject: Re: [R-SIG-Finance] [R-sig-finance] Commodity swap?

> Any suggestion/reference please?
> Bogaso wrote:
>> Hi, currently I am working on commodity swap. Can anyone provide me some
>> good references on Risk management for commodity sawp i.e. how to
>> calculate Value at Risk for a portfolio having atleast one position in
>> commodity swap, decomposition of risk etc under various methodologies 
>> like
>> parametric, simulation etc? Any good book and/or online references will 
>> be
>> highly appreciated. Is there any implementation on R itself?
>> Also, if possible, information on where to get data on commodity swap 
>> over
>> net.
>> Thanks and regards,

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