riskCalc: Risk Calculation System - MATH G4082 Project
In zhangkd5/riskCalc: Risk Calculation System -- MATH G4082 Project
Description
The riskCalc package provides a risk calculation system that is able to
compute Monte Carlo, historical, and parametric VaR for a portfolio of stock and option positions;
both calibrate to historical data and take parameters as input;
backtest the computed VaR against history.
This package is a part of the course project for MATH G4082.
Details
Package: riskCalc
Type: Package
Version: 0.1-1
Date: 2015-11-22
License: GPL (>=2)
This package is a risk calculation system that consists of three layers of operations.
The first (bottom) layer includes functions stocks, addOptions,
portfolio which creates structured data objects. The second (mid) layer includes a
generic function GBM which performs model calibration / specification.
The third (top) layer includes functions VaR and backtest which performs
VaR calculation and backtesting based on calibrated or uncalibrated data.
Author(s)
Kaidong Zhang kz2236@columbia.edu,
Weicong Wang tyrael0825@gmail.com,
Chenxing Ouyang co2341@columbia.edu
Maintainer: Kaidong Zhang kz2236@columbia.edu
zhangkd5/riskCalc documentation built on May 4, 2019, 10:16 p.m.
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Description
The riskCalc package provides a risk calculation system that is able to
compute Monte Carlo, historical, and parametric VaR for a portfolio of stock and option positions;
both calibrate to historical data and take parameters as input;
backtest the computed VaR against history.
This package is a part of the course project for MATH G4082.
Details
| Package: | riskCalc |
| Type: | Package |
| Version: | 0.1-1 |
| Date: | 2015-11-22 |
| License: | GPL (>=2) |
This package is a risk calculation system that consists of three layers of operations.
The first (bottom) layer includes functions stocks, addOptions,
portfolio which creates structured data objects. The second (mid) layer includes a
generic function GBM which performs model calibration / specification.
The third (top) layer includes functions VaR and backtest which performs
VaR calculation and backtesting based on calibrated or uncalibrated data.
Author(s)
Kaidong Zhang kz2236@columbia.edu, Weicong Wang tyrael0825@gmail.com, Chenxing Ouyang co2341@columbia.edu
Maintainer: Kaidong Zhang kz2236@columbia.edu
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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