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jvnVaR (version 1.0)

Value at Risk

Description

Many method to compute, predict and back-test VaR. For more detail, see the report: Value at Risk .

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Version

Install

install.packages('jvnVaR')

Monthly Downloads

159

Version

1.0

License

GPL-3

Maintainer

Hung Vu

Last Published

November 18th, 2015

Functions in jvnVaR (1.0)

jVaRLim

Value at Risk Function(under price limit condition)
dateList

Date list.
dataSelected

Price table.
stockList

Stock List.
jVaR

Value at Risk Function
jvnVaR-package

Value at risk package.
jReturn

Return Function
jMCPri

Monte-Carlo Price Simulation
jStockList

Stocks List in Vietnam stock market.
jPrice

Historical Price Function
jMCPriLim

Monte-Carlo Price Simulation (under price limit condition)
jTestVaR

VaR Back-testing