VALUE AT RISK FOR PORTFOLIO IN R

Abstract

The main topic of my research is to estimate the value at risk for any portfolio. For this I am doing the estimation using different time series data like what will be result for the stimulated data of stochastic time series data of samples of n observations and the other is to use the real life stock market data of a company. When I calculated the two different approaches (Parametric and Non-Parametric approach) of normally distributed data I calculated which method is more useful for predicting the risk that an investor may suffer. And lastly I choose two companies real time data and calculated the results of how my portfolio will displaying when two assets are there, how much risk I can bear.