Calculate VaR for equity portfolio

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Paul
Paul 2014년 10월 13일
댓글: Paul 2014년 10월 14일
Hi all,
I have a portfolio stored in a database which is varying in real time. I would like to calculate a simple VaR based on the positions and so on. Any help or advise on this topic or documentation somebody can point me to? thanks in advance

답변 (1개)

Siddharth Sundar
Siddharth Sundar 2014년 10월 14일
You could first create a PortfolioCVaR object. The PortfolioCVaR object has a method to compute the value-at-risk of portfolios called estimatePortVaR which you can then leverage to calculate the value-at-risk.
This link talks about how you can create a PortfolioCVaR object.
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Paul
Paul 2014년 10월 14일
thanks i will try it out asap and let you know if it worked for me

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