PortRisk-package:
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) |
This package includes functions to compute the volatility risk attributes such as Volatility, Portfolio Volatility, MCTR, CCTR etc.