Yes, there are: replicate and quantile are your friends. You will find better support in the R-Finance list, though.
Best regards, Carlos J. Gil Bellosta http://www.datanalytics.com On Thu, 2009-01-08 at 01:36 -0800, Maithili Shiva wrote: > Dear R helpers > > Suppose I have a portfolio of securities with exposure to Equity, Bonds and > Forex (say $ 1000000 each). > > Is there any fucntion in R that will help me calculate Value at Risk (VaR) > using Monte carlo Simulation , Historic simulation and Variance - Covariance > Simulation. > > > With regards > > Maithili > > ______________________________________________ > R-help@r-project.org 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@r-project.org 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.
