Dear all,
As I am working on Value at Risk, I am looking for an appropriate package to
calculate Value at Risk using different methods beyond the historical method.
In doing so, I have found the package jvnVaR which provides several methods to
calculate VaR. Nevertheless, I am interested in calculating the Monte Carlo VaR
and the GARCH (1,1) VaR.
Does anybody know another package which provides functions to calculate VaR?
Kind regards
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