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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