getRiskMetrics: Get VaR and ES metrics

In alec25/smif.package: SMIF Risk Team Function Storage

Description

Retrieves metrics related to risk for a proposed addition. Additions specified by tickers of new positions and corresponding sizes (in USD).

Usage

getRiskMetrics(ticker.new, amt = 12500L, ...)

Arguments

ticker.new	Character; a string or vector of strings specifying tickers
amt	Numeric; a numeric or vector of numerics specifying a dollar amount of the ticker to add.
...	additional parameters (passed to getHoldings.SMIF)

Details

Retrieves current holdings in SMIF portfolio, determines current portfolio Value at Risk and Expected Shortfall metrics. Determines portfolio metrics for new "proposed" portfolio (with additions), returns comparisons.

All metrics are calculated with a 95 If length of amt is less than length of ticker.new, the function will attempt to expand amt to match number of tickers.

Value

A list of following objects:

• Data.frame; VaR/ES data, in USD and percentages, before and after addition

• Numeric; percentage change in size of portfolio caused by additions

• Numeric; percentage of total portfolio comprised by additions

See Also

getHoldings.SMIF

Other data processing functions: getSlides

Examples

getRiskMetrics(c("NVDA", "T", "VZ"), amt = c(10000, 4500, 7500))

alec25/smif.package documentation built on May 22, 2019, 12:36 p.m.