R help - Jun 2016 - Calculating Value at Risk

Dear all,
As I am working on Value at Risk, I am looking for an appropriate package to
calculate Value at Risk using different methods beyond the historical method. In
doing so, I have found the package jvnVaR which provides several methods to
calculate VaR. Nevertheless, I am interested in calculating the Monte Carlo VaR
and the GARCH (1,1) VaR.

Does anybody know another package which provides  functions to calculate VaR?

Kind regards

	[[alternative HTML version deleted]]

1. Search!
rseek.org is an R-centric search site that you should always try. A
quick search there turned up the PerformanceAnalytics package. There
may be others, too.

2. Search the cran task views. There are finance and econometrics task
views that should be relevant.

3. Post on a more appropriate mailing list, in this case
r-sig-finance, rather than here.


Cheers,
Bert


Bert Gunter

"The trouble with having an open mind is that people keep coming along
and sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )


On Tue, Jun 28, 2016 at 1:40 PM, T.Riedle <tr206 at kent.ac.uk>
wrote:
> Dear all,
> As I am working on Value at Risk, I am looking for an appropriate package
to calculate Value at Risk using different methods beyond the historical method.
In doing so, I have found the package jvnVaR which provides several methods to
calculate VaR. Nevertheless, I am interested in calculating the Monte Carlo VaR
and the GARCH (1,1) VaR.
>
> Does anybody know another package which provides  functions to calculate
VaR?
>
> Kind regards
>
>         [[alternative HTML version deleted]]
>
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