[R-SIG-Finance] Value-at-risk

Brian G. Peterson brian at braverock.com
Thu May 12 13:21:05 CEST 2011

On Thu, 2011-05-12 at 12:38 +0200, Emmanuel Senyo wrote:
> Dear All,
> I am currently work on Value-at-risk and would like to know the package that
> is helpful in this regard. It consist of three method, that is variance
> covariance method, Monte carlo simulation, and Historical simulation.
> Regards
> Em

The Gaussian and Historical methods are available in

You can easily use the Monte Carlo method of your choice to create a
longer sample, and then use PerformanceAnalytics to calculate the VaR.

There are also several bootstrap Monte Carlo methods in
PerformanceAnalytics that have been contributed by Eric Zivot, but which
we have not yet documented and exposed.


   - Brian

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

More information about the R-SIG-Finance mailing list