mnquants/VaR: Portfolio Value at Risk
Calculate Value at Risk for an asset or portfolio. Select Parametric, Monte Carlo, or Historical Simulation methods for gaussian VaR or Conditional VaR.Integrates asset correlation in calculation.
Getting started
Browse package contents
Package details |
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| Maintainer | |
| License | MIT |
| Version | 0.0.0.9000 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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