anova97 / Risk-Package

R Package to calculate VaR and ES

Risk-Package

R Package to calculate VaR and ES

Calculating for given rates of return the value at risk and the expected loss using the historical method.

Functions:

• Risk: calculate VaR and ES for data object with daily return rates
• plotRisk: Create a graph of calculated values of VaR and ES
• printRisk: Print calculated values of VaR or ES

Dataaset:

in data folder there is a dataset containing the daily return rates of EUR calculated based on daily data from the begining of 2012 to the end of 2018