[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.
Thanks,
-----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
>assumed.
>
>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.
>
>Thanks,
>--
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>
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