mnquants/VaR: Portfolio Value at Risk
Version 0.0.0.9000

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

Package details

Maintainer
LicenseMIT
Version0.0.0.9000
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("mnquants/VaR")
mnquants/VaR documentation built on Dec. 5, 2017, 11:23 p.m.