jvnVaR: Value at Risk
Version 1.0

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

Browse man pages Browse package API and functions Browse package files

AuthorHung Vu
Date of publication2015-11-18 15:48:49
MaintainerHung Vu <viet-hung.vu@jvn.edu.vn>
LicenseGPL-3
Version1.0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("jvnVaR")

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.

Functions

dataSelected Man page
dateList Man page
ddham Source code
ddhame Source code
ddhaml Source code
dham Source code
dhame Source code
dhaml Source code
ham Source code
hame Source code
haml Source code
jBinomial Source code
jDivKernelFitPdf Source code
jEwHistVaR Source code
jEwmaHistRet Source code
jGarch11VaR Source code
jGarch11VaRLim Source code
jGarch11Vol Source code
jGarch11VolLim Source code
jGarchHistRet Source code
jGarchHistRetLim Source code
jGarchHistVaRLim Source code
jGradKernelFitPdf2 Source code
jKernelFitPdf Source code
jKernelHistVaR Source code
jListFunctions Source code
jMCPri Man page Source code
jMCPriLim Man page Source code
jMixKupTest Source code
jMleNormalVaR Source code
jMonteCarloVar Source code
jMonteCarloVarLim Source code
jNewRapEwma Source code
jNewRapGarch Source code
jNewRapGarchLim Source code
jNoComb Source code
jNonAdjHistVaR Source code
jNormCdf Source code
jNormInv Source code
jNormPdf Source code
jNormalVaR Source code
jOptWidthKernel Source code
jPValue Source code
jPofTest Source code
jPrice Man page Source code
jProb Source code
jProb2 Source code
jReturn Man page Source code
jSimson Source code
jSimsonKernel Source code
jSmallerVaRCount Source code
jStockList Man page Source code
jTestVaR Man page Source code
jTuffTest Source code
jVaR Man page Source code
jVaRLim Man page Source code
jvnVaR Man page
jvnVaR-package Man page
stockList Man page

Files

NAMESPACE
data
data/dataSelected.rda
data/dateList.rda
data/stockList.rda
R
R/jKernelHistVaR.R
R/jNormCdf.R
R/jVaR.R
R/jEwmaHistRet.R
R/jOptWidthKernel.R
R/hame.R
R/jGarchHistVaRLim.R
R/jSimsonKernel.R
R/jStockList.R
R/jReturn.R
R/ddham.R
R/jNormPdf.R
R/jMonteCarloVar.R
R/dhaml.R
R/jNewRapGarchLim.R
R/jNoComb.R
R/ddhaml.R
R/haml.R
R/jMixKupTest.R
R/jMCPri.R
R/jvnVaR-internal.R
R/jBinomial.r
R/jListFunctions.R
R/jMleNormalVaR.R
R/jMCPriLim.R
R/jVaRLim.R
R/jGarch11VolLim.R
R/ham.R
R/jGradKernelFitPdf2.R
R/jNonAdjHistVaR.R
R/jNormInv.r
R/jPofTest.R
R/jTestVaR.R
R/jPValue.R
R/jGarchHistRetLim.R
R/jMonteCarloVarLim.R
R/jGarch11Vol.R
R/dhame.R
R/jPrice.R
R/jNewRapEwma.R
R/jTuffTest.R
R/jNormalVaR.R
R/dham.R
R/jSimson.R
R/jGarchHistRet.R
R/jGarch11VaR.R
R/ddhame.R
R/jDivKernelFitPdf.R
R/jNewRapGarch.R
R/jGarch11VaRLim.R
R/jSmallerVaRCount.R
R/jKernelFitPdf.R
R/jEwHistVaR.R
R/jProb2.r
R/jProb.r
MD5
DESCRIPTION
man
man/jPrice.Rd
man/jMCPri.Rd
man/jStockList.Rd
man/dataSelected.Rd
man/jTestVaR.Rd
man/jVaR.Rd
man/jMCPriLim.Rd
man/jReturn.Rd
man/dateList.Rd
man/stockList.Rd
man/jVaRLim.Rd
man/jvnVaR-package.Rd
jvnVaR documentation built on May 29, 2017, 11:25 a.m.