[R-SIG-Finance] A Value at Risk question

Bogaso Christofer bogaso.christofer at gmail.com
Sun Apr 18 22:18:32 CEST 2010

Thanks Brian for your suggestion. However I could not get actually what you said. Would you be more specific? I would be more happy if I can understand the theory rather than just to get a number.


-----Original Message-----
From: Brian G. Peterson [mailto:brian at braverock.com] 
Sent: 18 April 2010 23:53
To: Bogaso
Subject: Re: [R-SIG-Finance] A Value at Risk question

Use Return.rebalancing and VaR functions.

"Bogaso" <bogaso.christofer at gmail.com> wrote:

>Hi all, I need to calculate Value at Risk in Parametric setup for a typical
>client defined exotic portfolio.
>Suppose currently I own 10 units of some asset say it is A and in next 10
>days (say, "i" which runs from 1 to 10) and I would sell each unit of "A" in
>next 10 days, and put the proceeding in some risk free bond for (30-i) days,
>I assume there would not be any day-by-day change in the interest offerings
>by that risk free Bond i.e. a non-stochastic nature of risk free rate is
>My goal is to calculate 1-day VaR under Parametric setup at time "t=0" for
>that portfolio. Would it be like simple "-1.96*10*S(0)*sigma"? Your help
>will be highly appreciated.
>View this message in context: http://n4.nabble.com/A-Value-at-Risk-question-tp2014925p2014925.html
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Sent from my Android phone with K-9 Mail. Please excuse my brevity.

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