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.
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.
Kaidong Zhang kz2236@columbia.edu, Weicong Wang tyrael0825@gmail.com, Chenxing Ouyang co2341@columbia.edu
Maintainer: Kaidong Zhang kz2236@columbia.edu
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