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

[Brian G. Peterson]

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
PerformanceAnalytics.

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.

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock