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tbeason / AsymmetricRisk.jl

A Julia package for computing asymmetric risk measures on univariate and bivariate data.
MIT License
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Plans to implement Historical Simulation of VaR and CVaR #4

Open shayandavoodii opened 1 year ago

shayandavoodii commented 1 year ago

Hi, I want to propose implementing methods of historically simulating VaR and CVaR (AKA ES) in this package. I've read about this topic in the "Risk Management and Financial Institutions (RMFI)" book, and I'm pretty aware of the importance of the context. The text refers to an Excel file that provides implementation examples of simulating VaR and CVaR on historical data in various ways. Furthermore, we can provide implementations of GlueVaR and SlideVaR, etc. I would be delighted to get your feedback if you're interested.

tbeason commented 1 year ago

I'm happy to review and accept PRs containing these things, but am unlikely to contribute them myself. This package would be a good spot for those.