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
Browse package contents
Package details |
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| Author | Kaidong Zhang, Weicong Wang, Chenxing Ouyang |
| Maintainer | Kaidong Zhang <kz2236@columbia.edu> |
| License | GPL (>=2) |
| Version | 0.1-1 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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