Calculate VaR for equity portfolio

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

Answer 1

[Siddharth Sundar]

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.

This link talks about obtaining Portfolio VaR from the PortfolioCVaR object.

[Paul]

thanks i will try it out asap and let you know if it worked for me