value_at_risk: Value at Risk

In dandermotj/mmr: Measuring Market Risk

Description

Estimate a various parameteric and non-parametric value at risk measures

Usage

value_at_risk(x)

Arguments

data	a dataframe of returns
...	unquoted column names to use in computation
alpha	1 - confidence level
method	the method for computing VAR
weighting	a function for weighting returns
params	a list of named parameters for specific methods

Examples

# compute 5% VaR for the corporate portfolio
portfolio_returns %>%
  filter(portfolio == "corporate") %>%
  value_at_risk(
    returns,
    alpha = 0.05,
    method = "historical simulation"
  )

# Compute 1% VaR for each portfolio
portfolio_returns %>%
  group_by(portfolio) %>%
  value_at_risk(
    returns,
    alpha = 0.01,
    method = "historical simulation",
    weighting = weight_vol(decay = 0.01)
  )

dandermotj/mmr documentation built on June 4, 2019, 9:26 p.m.