I have a portfolio stored in a database which is varying in real time. I would like to calculate a simple VaR based on the positions and so on. Any help or advise on this topic or documentation somebody can point me to? thanks in advance
You could first create aPortfolioCVaR object. The PortfolioCVaR object has a method to compute the value-at-risk of portfolios calledestimatePortVaR which you can then leverage to calculate the value-at-risk.