R help - Jan 2009 - VaR-Monte carlo Simulation, Historic simulation, Variance-Covariance Simulation

Dear R helpers

Suppose I have a portfolio of securities with exposure to Equity, Bonds and
Forex (say $ 1000000 each).

Is there any fucntion in R that will help me calculate Value at Risk (VaR) using
Monte carlo Simulation , Historic simulation and Variance - Covariance
Simulation.


With regards

Maithili

Yes, there are: replicate and quantile are your friends.

You will find better support in the R-Finance list, though.

Best regards,

Carlos J. Gil Bellosta
http://www.datanalytics.com


On Thu, 2009-01-08 at 01:36 -0800, Maithili Shiva wrote:
> Dear R helpers
> 
> Suppose I have a portfolio of securities with exposure to Equity, Bonds and
Forex (say $ 1000000 each).
> 
> Is there any fucntion in R that will help me calculate Value at Risk (VaR)
using Monte carlo Simulation , Historic simulation and Variance - Covariance
Simulation.
> 
> 
> With regards
> 
> Maithili
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

On 1/8/09, Maithili Shiva <maithili_shiva at yahoo.com>
wrote:
>  Is there any fucntion in R that will help me calculate Value at Risk (VaR)
using Monte carlo Simulation , Historic simulation and Variance - Covariance
Simulation.
>
There are some "un-published" Crystal Ball functions for R [1], which
may help in running the Monte Carlo simulations.
Regards,
Liviu

[1] http://www.bartell.org/mcs/