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Calculation value at risk of the statistical package R

Zubkova Larisa   (The Tyumen state university)

Dyachkov Sergey   (The Tyumen state university)

The concept of an investment risk is quite blurred, while, in a practice, there is necessary to have quantitative value of it. Because of it, it is important to know how to calculate this value and how put it to use in a routine. In the article reviewed model Value-at-Risk or VaR. There is discussed different methods of VaR's calculations: the historical method, the variance method, the Monte Carlo method. There is examined appliance of this model for a portfolio – the portfolio VaR. The article contains the source code in the programming language R for calculating VaR by different methods and examples of its implementation.

Keywords:Value-at-Risk, portfolio investments, normal distribution, Monte-Carlo simulation, R.
 

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Citation link:
Zubkova L. , Dyachkov S. Calculation value at risk of the statistical package R // Современная наука: актуальные проблемы теории и практики. Серия: ЭКОНОМИКА и ПРАВО. -2015. -№11-12. -С. 87-93
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