Package 'jvnVaR'

Title: Value at Risk
Description: Many method to compute, predict and back-test VaR. For more detail, see the report: Value at Risk <researchgate.net>.
Authors: Hung Vu
Maintainer: Hung Vu <[email protected]>
License: GPL-3
Version: 1.0
Built: 2024-11-26 06:45:52 UTC
Source: CRAN

Help Index

Value at risk package.

Description

Provide many method to compute, predict and back-test VaR.

More about what it does, see the report: Value at Risk.<researchgate.net>

Details

Package: jvnVaR
Type: Package
Version: 1.0
Date: 2015-08-10
License: GPL-3

Using command 'jListFunctions()' to know its useful functions.

Author(s)

Hung Vu

Maintainer: Hung Vu <[email protected]>

References

See the report: Value at Risk.<Researchgate.net>

See Also

https://www.researchgate.net/profile/Vu_Hung4

Price table.

Description

A set of stock price on Vietnam Security Market.

Usage

data("dataSelected")

Format

A data frame with 1827 observations on the following 687 variables.

dateList

a factor with levels 2009-01-01 2009-01-02 2009-01-03 2009-01-04 2009-01-05 2009-01-06 2009-01-07 2009-01-08 2009-01-09 2009-01-10 2009-01-11 2009-01-12 2009-01-13 2009-01-14 2009-01-15 2009-01-16 2009-01-17 2009-01-18 2009-01-19 2009-01-20 2009-01-21 2009-01-22 2009-01-23 2009-01-24 2009-01-25 2009-01-26 2009-01-27 2009-01-28 2009-01-29 2009-01-30 2009-01-31 2009-02-01 2009-02-02 2009-02-03 2009-02-04 2009-02-05 2009-02-06 2009-02-07 2009-02-08 2009-02-09 2009-02-10 2009-02-11 2009-02-12 2009-02-13 2009-02-14 2009-02-15 2009-02-16 2009-02-17 2009-02-18 2009-02-19 2009-02-20 2009-02-21 2009-02-22 2009-02-23 2009-02-24 2009-02-25 2009-02-26 2009-02-27 2009-02-28 2009-03-01 2009-03-02 2009-03-03 2009-03-04 2009-03-05 2009-03-06 2009-03-07 2009-03-08 2009-03-09 2009-03-10 2009-03-11 2009-03-12 2009-03-13 2009-03-14 2009-03-15 2009-03-16 2009-03-17 2009-03-18 2009-03-19 2009-03-20 2009-03-21 2009-03-22 2009-03-23 2009-03-24 2009-03-25 2009-03-26 2009-03-27 2009-03-28 2009-03-29 2009-03-30 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VNE

a numeric vector

VNF

a numeric vector

VNG

a numeric vector

VNH

a numeric vector

VNI

a numeric vector

VNL

a numeric vector

VNM

a numeric vector

VNN

a numeric vector

VNR

a numeric vector

VNS

a numeric vector

VNT

a numeric vector

VOS

a numeric vector

VPC

a numeric vector

VPH

a numeric vector

VPK

a numeric vector

VRC

a numeric vector

VSC

a numeric vector

VSH

a numeric vector

VSI

a numeric vector

VST

a numeric vector

VTB

a numeric vector

VTC

a numeric vector

VTF

a numeric vector

VTL

a numeric vector

VTO

a numeric vector

VTS

a numeric vector

VTV

a numeric vector

VXB

a numeric vector

WCS

a numeric vector

XMC

a numeric vector

YBC

a numeric vector

Details

There are 687 stock codes. Some examples: AAA, AAM, ABT,...

Source

http://www.cophieu68.vn/export.php https://www.vndirect.com.vn/portal/thong-ke-thi-truong-chung-khoan/lich-su-gia.shtml

Examples

data(dataSelected)

Date list.

Description

Date list.

Usage

data("dateList")

Format

The format is: chr [1:1827] "2009-01-01" "2009-01-02" "2009-01-03" "2009-01-04" ...

Source

Vietnam stock market.

References

See the report.

Examples

data(dateList)

Monte-Carlo Price Simulation

Description

Using when you need a series of price to do back-testing.

This function using normal return model to simulate price.

Related report: Value at Risk.<researchgate.net>

Usage

jMCPri(s0, mu, sigma, m)

Arguments

s0

The initial price or the price at the first day.

mu

Expected (or drift) of return.

sigma

Standard deviation (or volatility) of return.

m

Number of observations.

Value

An array of price.

Note

[email protected]

Author(s)

Hung Vu

References

Value at Risk.(reserchgate.net)

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

s0 <- 100
mu <- 0.02
sigma <- 0.1
m <- 1000
jMCPri (s0, mu, sigma, m)

Monte-Carlo Price Simulation (under price limit condition)

Description

Using when you need a series of price to do back-testing.

This function using normal return model to simulate price under price limit condition.

Price limit condition require that the return on price is limited.

Related report: Value at Risk.<researchgate.net>

Usage

jMCPriLim(s0, L, U, mu, sigma,m)

Arguments

s0

The initial price or the price at the first day.

L

Lower limit of return.

U

Upper limit of return.

mu

Expected (or mean) of return.

sigma

Standard deviation (or volatility) of return.

m

Number of observations.

Value

An array of price.

Note

[email protected]

Author(s)

Hung Vu

References

Value at Risk.(reserchgate.net)

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

s0 <- 100
mu <- 0.02
sigma <- 0.1
m <- 1000
L <- -0.07
U <- 0.07
jMCPriLim (s0, L, U, mu, sigma, m)

Historical Price Function

Description

Take out a price series from database.

See the report: Value at Risk.<researchgate.net>

Usage

jPrice(name)

Arguments

name

Name of a stock. See list of stocks using jStockList()

Value

A price series.

Note

[email protected]

Author(s)

Hung Vu

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

jStockList()
jPrice('AAA')

Return Function

Description

Compute returns from a price series of an asset.

Return is gain (or loss) rate from an investment to the asset in a time interval.

See the report: Value at Risk.<researchgate.net>

Usage

jReturn(s)

Arguments

s

A price series.

Value

A return series.

Note

[email protected]

Author(s)

Hung Vu

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

y <- c(11, 12, 10, 13, 12, 14, 13, 15, 13, 14, 12)
s <- jReturn(y)
s

Stocks List in Vietnam stock market.

Description

Provide a list of Vietnamese stocks.

See the report: Value at Risk.<researchgate.net>

Usage

jStockList()

Value

A list of Vietnamese stocks

Note

[email protected]

Author(s)

Hung Vu

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

jStockList()

VaR Back-testing

Description

Provide some kinds of test for Value at risk.

The null hypothesis is the equation of the probability of loss cross over VaR and the given ruin level.

It will show how the calculated VaR can be accepted.

See the report: Value at Risk.<researchgate.net>

Usage

jTestVaR(Ret, VaR, p, test_significant, type)

Arguments

Ret

Return series use to back-test.

VaR

Value at Risk that has been calculated.

p

Given probability used to calculate VaR

test_significant

Significant level of the test.

type

Kinds of test.

. p_value

. pof

. tuff

. mixkup

Details

See the report.

Value

Statistic,Quantile and test result.

Note

[email protected]

Author(s)

Hung Vu

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

y <- c(11, 12, 10, 13, 12, 14, 13, 15, 13, 14, 12)
s <- jReturn(y)
alpha <- 0.2
h <- 0
v <- jVaR('non_adjust_hist',s,alpha,h)
jTestVaR(s, v, alpha, 0.05, 'p_value')

Value at Risk Function

Description

Compute VaR by many methods.

See the report: Value at Risk.<researchgate.net>

Usage

jVaR(type, Return, Alpha, N_th_day)

Arguments

type

Computing method.

. 'non_adjust_hist': Historical method without any adjustment.

. 'grch11_hist': Historical method with adjustment by Garch(1,1) method.

. 'ewhv_hist': Exponential Weighted method.

. 'ewma_hist': Historical method with adjustment by EWMA method.

. 'kernel_hist': Estimating density function using kernel fitting method.

. 'grch11_kernel_hist': Kernel fitting method apply on return adjusted by Garch(1,1).

. 'ewma_kernel_hist': Kernel fitting method apply on return adjusted by EWMA.

. 'garch11': Garch(1,1) method.

. 'normal': Normal return method.

. 'mle_normal': Normal return method (Estimating by maximum likelihood method).

. 'monte_carlo': Simulation method.

Return

A return series that computed from price series.

Alpha

Given probability of the event that loss exceeds VaR.

N_th_day

Time point of VaR computing (...,-1,0,1,...)

. -1 : previous day

. 0 : present

. 1 : next day

Value

Value at Risk at the time point.

Note

[email protected]

Author(s)

Hung Vu

References

Value at Risk.(reserchgate.net)

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

y <- c(11, 12, 10, 13, 12, 14, 13, 15, 13, 14, 12)
s <- jReturn(y)
alpha <- 0.2
h <- 0
v <- jVaR('non_adjust_hist',s,alpha,h)

Value at Risk Function(under price limit condition)

Description

Compute VaR under price limit condition.

See the report: Value at Risk.<researchgate.net>

Usage

jVaRLim(Ret, L, U, alpha, type, h)

Arguments

Ret

A return series that computed from price series.

L

Lower limit.

U

Upper limit.

alpha

Given probability of the event that loss exceeds VaR.

type

Computing method.

'model': Garch(1,1) method.

'histl': Historical method with return series adjusted by Garch(1,1) method.

'simul': Simulation method.

h

Time point of VaR computing (...,-1,0,1,...)

. -1 : previous day

. 0 : present

. 1 : next day

Value

Value at Risk at the time point.

Note

[email protected]

Author(s)

Hung Vu

References

Value at Risk.(reserchgate.net)

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

y <- c(11, 12, 10, 13, 12, 14, 13, 15, 13, 14, 12)
s <- jReturn(y)
alpha <- 0.2
h <- 0
L <- -0.13
U <- 0.16
v <- jVaRLim(s,L,U,alpha,'model',h)

Stock List.

Description

Stock List.

Usage

data("stockList")

Format

The format is: chr [1:691] "AAA" "AAM" "ABT" "ACB" "ACC" "ACL" "ADC" ...

Source

http://www.cophieu68.vn/export.php https://www.vndirect.com.vn/portal/thong-ke-thi-truong-chung-khoan/lich-su-gia.shtml

Examples

data(stockList)