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.
|Author||Kaidong Zhang, Weicong Wang, Chenxing Ouyang|
|Maintainer||Kaidong Zhang <[email protected]>|
|Package repository||View on GitHub|
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