Calculate VaR for equity portfolio

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Paul
Paul 2014-10-13
评论： Paul 2014-10-14
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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回答（1 个）

Siddharth Sundar
Siddharth Sundar 2014-10-14
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.
This link talks about how you can create a PortfolioCVaR object.
This link talks about obtaining Portfolio VaR from the PortfolioCVaR object.
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Paul
Paul 2014-10-14
thanks i will try it out asap and let you know if it worked for me

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