RiskValues: Historical VaR and CVaR of a Security's Portfolio

Description Usage Arguments Value

Description

Calculates the VaR metric of a security's portfolio

Usage

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RiskValues(fecha = Sys.Date() - 1, instruments, shares, efectivo,
  chequera = 0, confidence = 0.95, period = 252)

Arguments

fecha

is the date of calculation.

instruments

is an array of instruments.

shares

is an array of each instrument's shares.

efectivo

is the amount of cash in the portfolio.

chequera

is the amount of dollars in the portfolio.

confidence

is the level of confidence at which the VaR and CVaR are calculated.

period

es the period in days for the VaR and CVaR calculation.

Value

VaR and CVaR of the security's portfolio


CIAssetManagement/QuantTools documentation built on May 8, 2019, 3:41 p.m.