quick risk management indicator

Posted by Grison PG Pierre (External DEXIA-US) on
URL: http://quantlib.414.s1.nabble.com/quick-risk-management-indicator-tp16487.html

Hello,

 

Is there anything in quantlib (or in other languages such as C#, VBA, R… ) that could be used to perform quick risk management. For instance, given:

-time series for a set of underlying

-a portfolio of these underlying (let s start with static positions only)

I would like to find an easy way to get the volatility, the VaR and maybe some other risk indicators…

 

Thanks for any help/comments,

 

Pierre

 

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