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

Brian G. Peterson brian at braverock.com
Thu May 12 13:57:38 CEST 2011

There is over 100 pages of documentation available with

I suggest you start with 

#you only need to do the install the first time


from the R prompt.  See the examples at the bottom of the VaR

Hopefully that will get you started.  If you have trouble, you may email
the R-SIG-Finance list or me with an example of what you're trying to
do.  Ideally, start with some publicly available data (use the edhec or
managers data in Performanceanalytics, or use getSymbols to pull stock
data from Yahoo or Google) so that others can replicate what you're
trying to do and help you with code rather than vague suggestions.


   - Brian

On Thu, 2011-05-12 at 13:47 +0200, Emmanuel Senyo wrote:
> Dear Brian,
> Thanks for the mail, I have now located the PerformanceAnalytics.
> Could you please elaborate on it how I could use this package, the
> fact is that I am new to R, how i would like compute value at risk
> for prices and volumes. If I can get a sample scripts with explanation
> that would be very helpful to me to enable me build my own scripts.
> Regards
> Emma
> On Thu, May 12, 2011 at 1:21 PM, Brian G. Peterson
> <brian at braverock.com> wrote:
>         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

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

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