Package: jvnVaR 1.0
Hung Vu
jvnVaR: Value at Risk
Many method to compute, predict and back-test VaR. For more detail, see the report: Value at Risk <researchgate.net>.
Authors:
jvnVaR_1.0.tar.gz
jvnVaR_1.0.tar.gz(r-4.5-noble)jvnVaR_1.0.tar.gz(r-4.4-noble)
jvnVaR_1.0.tgz(r-4.4-emscripten)jvnVaR_1.0.tgz(r-4.3-emscripten)
jvnVaR.pdf |jvnVaR.html✨
jvnVaR/json (API)
| # Install 'jvnVaR' in R: |
| install.packages('jvnVaR', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Datasets:
- dataSelected - Price table.
- dateList - Date list.
- stockList - Stock List.
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 9 years agofrom:8907f5d27e. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 27 2024 |
| R-4.5-linux | OK | Oct 27 2024 |
Exports:jMCPrijMCPriLimjPricejReturnjStockListjTestVaRjVaRjVaRLim
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Value at risk package. | jvnVaR-package jvnVaR |
| Price table. | dataSelected |
| Date list. | dateList |
| Monte-Carlo Price Simulation | jMCPri |
| Monte-Carlo Price Simulation (under price limit condition) | jMCPriLim |
| Historical Price Function | jPrice |
| Return Function | jReturn |
| Stocks List in Vietnam stock market. | jStockList |
| VaR Back-testing | jTestVaR |
| Value at Risk Function | jVaR |
| Value at Risk Function(under price limit condition) | jVaRLim |
| Stock List. | stockList |