[R-SIG-Finance] Calculating VaR

[T.Riedle]

Dear all,

As I am working on Value at Risk, I am looking for an appropriate package to calculate Value at Risk using different methods beyond the historical method. In doing so, I have found the package jvnVaR which provides several methods to calculate VaR. Nevertheless, I am interested in calculating the Monte Carlo VaR and the GARCH (1,1) VaR.



Does anybody know another package which provides  functions to calculate VaR?



Kind regards




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