Add Value at Risk (VaR) and Expected Shortfall (ES) Calculator in R#201
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siriak merged 1 commit intoTheAlgorithms:masterfrom Oct 12, 2025
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Pull Request Overview
This PR introduces a comprehensive Value at Risk (VaR) and Expected Shortfall (ES) calculator for quantitative finance applications in R. The implementation provides multiple risk calculation methods commonly used in financial institutions for portfolio risk assessment.
Key Changes:
- Adds an R6 class
RiskMetricswith modular design supporting three calculation methods (Historical, Parametric, Monte Carlo) - Implements both VaR and ES calculations with consistent interfaces across all methods
- Includes comprehensive risk reporting with distribution statistics (mean, volatility, skewness, kurtosis)
siriak
approved these changes
Oct 12, 2025
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This PR introduces a comprehensive and educational implementation of Value at Risk (VaR) and Expected Shortfall (ES) calculation methods in R.
Overview
The
RiskMetricsR6 class implements multiple risk measurement techniques used in quantitative finance to assess potential portfolio losses:It also computes Expected Shortfall (Conditional VaR) for each method and provides a detailed risk report including distribution statistics (mean, volatility, skewness, and kurtosis).
Features
Usage
Run
demonstrate_risk_metrics()to execute the demonstration and print:Complexity
This implementation enhances the quantitative finance section by providing robust portfolio risk assessment tools commonly used in financial institutions and risk management frameworks.