[R-SIG-Finance] Calculating VaR

Eric Zivot ezivot at uw.edu
Wed Jun 29 00:48:29 CEST 2016

You can also look at the Dowd package on R-forge (part of ReturnAnalytics)
and, of course, PerformanceAnalytics. rugarch has built-in functionality for
computing VaR from GARCH models as well as backtesting VaR models.

-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf
Of T.Riedle
Sent: Tuesday, June 28, 2016 2:07 PM
To: R-SIG-Finance at r-project.org
Subject: [R-SIG-Finance] Calculating VaR

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

Kind regards

	[[alternative HTML version deleted]]

R-SIG-Finance at r-project.org mailing list
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions
should go.

More information about the R-SIG-Finance mailing list