| PortRisk-package {PortRisk} | R Documentation |
Portfolio Risk Analysis
Description
Risk Attribution of a portfolio with Volatility Risk Analysis.
Details
| Package: | PortRisk |
| Type: | Package |
| Version: | 1.1.0 |
| Date: | 2015-10-31 |
| License: | GPL-2 | GPL-3 |
| Depends: | R (>= 3.0.0) |
| Imports: | zoo, tseries, MCMCpack, copula, MASS
|
This package includes functions to compute the volatility risk attributes such as Volatility, Portfolio Volatility, MCTR, CCTR etc.
Author(s)
Sourish Das [aut, cre], Tamal Kanti Panja [aut].
Maintainer: Sourish Das <sourish.das@gmail.com>
[Package PortRisk version 1.1.0 Index]