[R] VaR-Monte carlo Simulation, Historic simulation, Variance-Covariance Simulation

[Carlos J. Gil Bellosta]

Yes, there are: replicate and quantile are your friends.

You will find better support in the R-Finance list, though.

Best regards,

Carlos J. Gil Bellosta
http://www.datanalytics.com


On Thu, 2009-01-08 at 01:36 -0800, Maithili Shiva wrote:
> Dear R helpers
> 
> Suppose I have a portfolio of securities with exposure to Equity, Bonds and Forex (say $ 1000000 each). 
> 
> Is there any fucntion in R that will help me calculate Value at Risk (VaR) using Monte carlo Simulation , Historic simulation and Variance - Covariance Simulation.
> 
> 
> With regards
> 
> Maithili
> 
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