Dear All, I am trying to clarify the 3 main methods provided to calculate VaR in PerformanceAnalytics, namely historical, Gaussian and modified.
My understanding was that historical was the traditional non-parametric measure of the p-quantile of the negative return, and that the "Gaussian" version was based on the parametric mean-VaR based on RiskMetric's methodology. This seems to be matching the description in http://braverock.com/brian/R/PerformanceAnalytics/html/VaR.html However, when I look at the recently updated guide for the package (http://cran.r-project.org/web/packages/PerformanceAnalytics/PerformanceAnalytics.pdf) I notice a different language in the description of VaR. The first paragraph of page 11 seems to imply that the "historical" method is actually the parametric VaR and let me wonder what "Gaussian" is then. Thanks in advance for letting me know Very best, Julien This e-mail and its attachments are intended only for the individual or entity to whom it is addressed and may contain information that is confidential, privileged, inside information, or subject to other restrictions on use or disclosure. If you have received this transmission in error, please notify the sender immediately by return e-mail, and permanently delete or destroy this e-mail, any attachments, and all copies. Any unauthorized use, dissemination or copying of this transmission or the information may be unlawful. This message is provided for informational purposes and should not be construed as an invitation or offer to buy or sell any securities or related financial instruments. [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
