zhangkd5/riskCalc: Risk Calculation System -- MATH G4082 Project

The riskCalc package provides a risk calculation system that is able to (1) compute Monte Carlo, historical, and parametric VaR for a portfolio of stock and option positions; (2) both calibrate to historical data and take parameters as input; (3) backtest the VaR against historical data.

Getting started

Package details

AuthorKaidong Zhang, Weicong Wang, Chenxing Ouyang
MaintainerKaidong Zhang <kz2236@columbia.edu>
LicenseGPL (>=2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
zhangkd5/riskCalc documentation built on May 4, 2019, 10:16 p.m.