Have you looked at the 'VaR' package? If nothing in this package seems adequate for your purposes, please provide minimal, self-contained, reproducible code while explaining what it seems to lack, etc., as suggested in the posting guide "www.R-project.org/posting-guide.html".
Hope this helps. Spencer Graves Benjamin Dickgiesser wrote: > Hi > > Has someone got a package/script at hand to do a historical simulation > to calculate the Value at Risk? > > If your not sure what Historical Simulation is: > In simple terms, Historical Simulation (HS) is just taking sample > percentiles over a moving sample. Suppose we want to use HS to predict > a portfolio's Value-at-Risk at a confidence level of 99 percent and > the window size is chosen to be 250 trading days. Then the 1 percent > sample percentile is some amount between the second worst portfolio > loss and the third worst portfolio loss (since 250 × 0.01 = 2.5). We > decide to determine the Value-at-Risk through interpolation; in this > case the VaR lies halfway between the second worst portfolio loss and > the third worst portfolio loss. > > Benjamin > > ______________________________________________ > R-help@stat.math.ethz.ch 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. > ______________________________________________ R-help@stat.math.ethz.ch 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.