[R-SIG-Finance] Fw: Value-at-Risk

Brian G. Peterson brian at braverock.com
Wed Jul 1 20:39:02 CEST 2009

Wei-han Liu wrote:
> I know GARCH models has its forecasting capacity as the reference you shared indicates.
> I wonder if the Value-at-Risk estimated by extreme value theory can also be used for forecasting purpose. Is there some theory background in this regard?
There are a myriad of Value at Risk methods, many of the most useful 
ones (and some of their portfolio component risk decomposition 
extensions) are already implemented in R.

The literature on this topic is huge.  Jorion's book comes to mind, 
though t is neither comprehensive nor recent.  EVT, Cornish Fisher, 
Shew-t, GPD, MCMC, GARCH, VEC/VAR, etc may all be used to calculate a 
VaR (note the capitalization difference) model that has out of sample 
estimation capabilities.

I suggest searching the R documentation and the internet on Value at 
Risk so that you can ask a more actionable question.


  - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

More information about the R-SIG-Finance mailing list