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Saturday, February 11, 2012

Value at Risk estimation


Value at Risk estimation


[Package List] [Top]
DJIA Daily Closing Prices of Stocks in The Dow Jones 30 Industrial Index
exchange.rates EUR/USD, USD/JPY, USD/CHF and GPD/USD Exchange Rates
VaR.backtest Backtest of VaR Estimation
VaR.gpd Value at Risk Calculation from Log-Likelihood Fit of General Pareto Distribution (GPD)
VaR.gpd.plots Diagnostic Plots for VaR Calculation from GPD Approximation
VaR.norm Value at Risk Calculation in Lognormal Approximation
VaR.norm.plots Diagnostic Plots for VaR Calculation in Lognormal Approximation

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