Oh sry, I forgot to add the R-help list. Thanks a lot for your help Guarav!
2007/5/11, [EMAIL PROTECTED] <[EMAIL PROTECTED]>: > > > Hi Saore > > ***Please always mark a copy to the R-help list, it may be helpfull to > many, you have forgotten twice*** > *** Do Reply to all with history *** > :-) cheers > > > > > YOU ARE THE BEST :) > > I have some problems understanding R, but R and I will be friends in the > future hehe :) > > I have another problem with investing in one of this stockfonds. > Lets say I would invest in the europe stockfonds on 2.5.2006 1000 dollar. > What would be the 99%VaR/1 day under historical simulation? The same as > above? > @@@ So what do you think, -2.86 number means Lets investigate > > suppose you have invested 1000, one way to realize is > 100*ln(Tommorow/Todays) = -2.86 (out return) where Todays = 1000 > hence Tommorow = 1000*exp(-2.86/100) = 971.8051 , therefore Loss = 1000 - > 971.8051 = 28.19489 > > I hope this would make your understanding much better and clear about VaR > :-) > HTH > > KR, > Alin > > 2007/5/11, [EMAIL PROTECTED] * <[EMAIL PROTECTED]><* > [EMAIL PROTECTED] <[EMAIL PROTECTED]>>: > > reply is inline > > > > > > Hello Gaurav, > > The function: > > > VaR(tstock[,2],alpha=0.01) # gives the same VaR as above with historical > simulation > VaR > -2.86 > > but i tried this function for normal distribution: > > > VaR.norm (tstock[,2],p=0.99)$VaR > Error in VaR.norm(tstock[, 2], p = 0.99) : > Negative value in parameter 'ydat' > @@@ if you have seen the help manual then you mus have got that you dont > need to give the retun series. > R is trying to calucate the logarithm of a negative number which is why it > is throwing you error. > try this instead > > XXX<-VaR.norm(stock$ESPA.STOCK.EUROPE,p=0.01) > > XXX$VaR > [1] -3.11079 > > > > I dont understand the way with the normal distribution :( Maybe you can > help me a littble bit. > Cheers :-) > > KR, > Alin Soare > > 2007/5/11, [EMAIL PROTECTED] <[EMAIL PROTECTED]> <* > [EMAIL PROTECTED] <[EMAIL PROTECTED]>>: > > reply is inline > > - Regards, > > \\\|||||/// > \\ - - // > ( o o ) > oOOo-(_)-oOOo-------- > | > | Gaurav Yadav > | Assistant Manager, CCIL, Mumbai (India) > | Mob: +919821286118 Email: [EMAIL PROTECTED] *<[EMAIL PROTECTED]> > | Man is made by his belief, as He believes, so He is. > | --- Bhagavad Gita > |_______Oooo________ > oooO( ) > ( ) ) / > \ ( (_/ > \_ ) > > > Hello Mr. Gaurav Yadav, > Hi Soare, > 1. I want to calculate the 99%VaR/1 day for the stock fonds, after sorting > the values the 5th or 6th value is it? > In Historical simulation it is the 5th value...... because it tells you to > be more cautious that a higher loss 'may' be there, secondly VaR only shows > the possibility and not the maximum loss which you can incur :-) cheers > 2. How do I calculate it under normal distribution aproximation? > Well there is also a normal method or variance - covariance method which > assumes normal distribution :-) > if you want to incorporate recency effect then you can also see boudhouks > method > > try this paper which will give you very good understanding of various > methods of VaR * > > **http://papers.ssrn.com/sol3/papers.cfm?abstract_id=51420#PaperDownload > *<http://papers.ssrn.com/sol3/papers.cfm?abstract_id=51420#PaperDownload> > > > > > ++++++++++++++++++ > apply(tstock,2,function(x) VaR(x,alpha=0.01)) # are these the right VaR's > for the stockfonds? > @@@ you can yourself see it, you have around 579 observation and 1% of it > mean 5.79th observation > Thus if you become risk averse then you take the 5th smallest value and > otherwise 6th value. > So just sort the returns in ascending order and then see the 5th and the > 6th values > > > > sorted_espa_stock_europe<-sort(tstock[,2]) > > sorted_espa_stock_europe[5] > [1] -2.86 > > sorted_espa_stock_europe[6] > [1] -2.74 > > > > your code gives -2.86 thus you can get the rest :-) cheers > > ============================================================================================ > DISCLAIMER AND CONFIDENTIALITY CAUTION: > > This message and any attachments with it (the "message") are confidential > and intended > solely for the addressees. 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