Calculate VaR for equity portfolio
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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
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Siddharth Sundar
2014 年 10 月 14 日
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.
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