[R-SIG-Finance] VaR in PerformanceAnalytics

[Gei Lin]

Your original understanding is correct.

You can examine the source code of non-exported functions in the package from the R prompt with

PerformanceAnalytics:::VaR.Gaussian
PerformanceAnalytics:::VaR.historical

-----Original Message-----
From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Julien Dargent
Sent: Tuesday, December 17, 2013 9:24 PM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] VaR in PerformanceAnalytics

Dear All,

I am trying to clarify the 3 main methods provided to calculate VaR in PerformanceAnalytics, namely historical, Gaussian and modified.

My understanding was that historical was the traditional non-parametric measure of the p-quantile of the negative return, and that the "Gaussian" version was based on the parametric mean-VaR based on RiskMetric's methodology. This seems to be matching the description in http://braverock.com/brian/R/PerformanceAnalytics/html/VaR.html

However, when I look at the recently updated guide for the package (http://cran.r-project.org/web/packages/PerformanceAnalytics/PerformanceAnalytics.pdf) I notice a different language in the description of VaR. The first paragraph of page 11 seems to imply that the "historical" method is actually the parametric VaR and let me wonder what "Gaussian" is then.

Thanks in advance for letting me know

Very best,

Julien






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