VaR is most popular risk measurement of downside risk in recent years. It can aggregate risk across products departments ,and even across different risk type.  I am going to dive into the VaR() function in the package "PerformanceAnalystics" Here  is full parameter of function VaR() VaR(R = NULL, p = 0.95, method = c("modified", "gaussian","historical", "kernel")...) R can be assign a data.frame, vector, matrix, or xts, timeSeries object etc . p is assigned Read more [...]