jvnVaR: Value at Risk

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Many method to compute, predict and back-test VaR. For more detail, see the report: Value at Risk <researchgate.net>.

Author
Hung Vu
Date of publication
2015-11-18 15:48:49
Maintainer
Hung Vu <viet-hung.vu@jvn.edu.vn>
License
GPL-3
Version
1.0

View on CRAN

Man pages

dataSelected
Price table.
dateList
Date list.
jMCPri
Monte-Carlo Price Simulation
jMCPriLim
Monte-Carlo Price Simulation (under price limit condition)
jPrice
Historical Price Function
jReturn
Return Function
jStockList
Stocks List in Vietnam stock market.
jTestVaR
VaR Back-testing
jVaR
Value at Risk Function
jVaRLim
Value at Risk Function(under price limit condition)
jvnVaR-package
Value at risk package.
stockList
Stock List.

Files in this package

jvnVaR
jvnVaR/NAMESPACE
jvnVaR/data
jvnVaR/data/dataSelected.rda
jvnVaR/data/dateList.rda
jvnVaR/data/stockList.rda
jvnVaR/R
jvnVaR/R/jKernelHistVaR.R
jvnVaR/R/jNormCdf.R
jvnVaR/R/jVaR.R
jvnVaR/R/jEwmaHistRet.R
jvnVaR/R/jOptWidthKernel.R
jvnVaR/R/hame.R
jvnVaR/R/jGarchHistVaRLim.R
jvnVaR/R/jSimsonKernel.R
jvnVaR/R/jStockList.R
jvnVaR/R/jReturn.R
jvnVaR/R/ddham.R
jvnVaR/R/jNormPdf.R
jvnVaR/R/jMonteCarloVar.R
jvnVaR/R/dhaml.R
jvnVaR/R/jNewRapGarchLim.R
jvnVaR/R/jNoComb.R
jvnVaR/R/ddhaml.R
jvnVaR/R/haml.R
jvnVaR/R/jMixKupTest.R
jvnVaR/R/jMCPri.R
jvnVaR/R/jvnVaR-internal.R
jvnVaR/R/jBinomial.r
jvnVaR/R/jListFunctions.R
jvnVaR/R/jMleNormalVaR.R
jvnVaR/R/jMCPriLim.R
jvnVaR/R/jVaRLim.R
jvnVaR/R/jGarch11VolLim.R
jvnVaR/R/ham.R
jvnVaR/R/jGradKernelFitPdf2.R
jvnVaR/R/jNonAdjHistVaR.R
jvnVaR/R/jNormInv.r
jvnVaR/R/jPofTest.R
jvnVaR/R/jTestVaR.R
jvnVaR/R/jPValue.R
jvnVaR/R/jGarchHistRetLim.R
jvnVaR/R/jMonteCarloVarLim.R
jvnVaR/R/jGarch11Vol.R
jvnVaR/R/dhame.R
jvnVaR/R/jPrice.R
jvnVaR/R/jNewRapEwma.R
jvnVaR/R/jTuffTest.R
jvnVaR/R/jNormalVaR.R
jvnVaR/R/dham.R
jvnVaR/R/jSimson.R
jvnVaR/R/jGarchHistRet.R
jvnVaR/R/jGarch11VaR.R
jvnVaR/R/ddhame.R
jvnVaR/R/jDivKernelFitPdf.R
jvnVaR/R/jNewRapGarch.R
jvnVaR/R/jGarch11VaRLim.R
jvnVaR/R/jSmallerVaRCount.R
jvnVaR/R/jKernelFitPdf.R
jvnVaR/R/jEwHistVaR.R
jvnVaR/R/jProb2.r
jvnVaR/R/jProb.r
jvnVaR/MD5
jvnVaR/DESCRIPTION
jvnVaR/man
jvnVaR/man/jPrice.Rd
jvnVaR/man/jMCPri.Rd
jvnVaR/man/jStockList.Rd
jvnVaR/man/dataSelected.Rd
jvnVaR/man/jTestVaR.Rd
jvnVaR/man/jVaR.Rd
jvnVaR/man/jMCPriLim.Rd
jvnVaR/man/jReturn.Rd
jvnVaR/man/dateList.Rd
jvnVaR/man/stockList.Rd
jvnVaR/man/jVaRLim.Rd
jvnVaR/man/jvnVaR-package.Rd