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.
- 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
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