Cálculo del VaR

calculate_var <- function(rendimientos, rport, pv, n, conf_levels, weights, cov_portafolio) {
  var_results <- list()
  
  
  alpha.p <- (1 - conf_levels)/2
  sd_portafolio <- apply(rendimientos, 2, sd)
  varpn <- sd_portafolio * qnorm(alpha.p) * sqrt(1) * pv
  varpn_port <- sqrt(t(weights) %*% cov_portafolio %*% weights) * qnorm(alpha.p) * sqrt(1) * pv
  
  var_results$varpn <- varpn
  var_results$varpn_port <- varpn_port
  
  
  alpha.h <- 1 - conf_levels
  varh <- apply(rendimientos, 2, quantile, alpha.h) * sqrt(1) * pv
  varh_port <- quantile(rport, alpha.h) * sqrt(1) * pv
  
  var_results$varh <- varh
  var_results$varh_port <- varh_port
  
  return(var_results)
}

5 años

ALFA2 <- ALFA["2018-05-31/"]


rendimientos <- na.omit(Return.calculate(ALFA2), method = "log")


sd_portafolio <- apply(rendimientos, 2, sd)
cor_portafolio <- cor(rendimientos, use = "complete.obs", method = "pearson")
cov_portafolio <- diag(sd_portafolio) %*% cor_portafolio %*% diag(sd_portafolio)


weights <- c(0.06, 0.09, 0.14, 0.11, 0.14, 0.07, 0.05, 0.08, 0.08, 0.13, 0.05, 0)


volport <- sqrt(t(as.matrix(weights)) %*% cov_portafolio %*% as.matrix(weights))
rport <- rendimientos %*% as.matrix(weights)


var_results <- calculate_var(rendimientos, rport, pv = 1000000, n = 13, conf_levels = c(0.9, 0.95, 0.99), weights = weights, cov_portafolio = cov_portafolio)



varh_port <- var_results$varh_port
varh <- var_results$varh
varpn_port <- var_results$varpn_port
varpn <- var_results$varpn


#Activos

varh_tbl <- data.frame(Value = varh)

kable(varh_tbl, format = "html", col.names = c("ARCA", "AMÉRICA MÓVIL", "BIMBO", "CEMEX", "FEMSA", "INBURSA", "BANORTE", "G.MEXICO", "COCA COLA", "WALMART", "KIMBERLY", "IPC")) %>%
  kable_styling() %>% 
  add_header_above(c("VaR histórico a 5 años" = 13))

VaR histórico a 5 años
	ARCA	AMÉRICA MÓVIL	BIMBO	CEMEX	FEMSA	INBURSA	BANORTE	G.MEXICO	COCA COLA	WALMART	KIMBERLY	IPC
10%	-19413.88	-22280.21	-26185.37	-32774.27	-19645.89	-28135.90	-31056.72	-32597.75	-19355.99	-22949.21	-25084.28	-17651.91
5%	-25941.05	-29401.30	-34357.47	-45389.25	-25450.17	-38880.08	-43688.83	-44153.54	-27169.38	-30134.62	-34295.97	-24251.76
1%	-44636.50	-50117.54	-59009.80	-73434.51	-47732.33	-64113.26	-77136.30	-60366.57	-45817.64	-51901.83	-53018.90	-45205.97

# Portafolio
portfolio_var_table <- data.frame(
  "Portfolio",
  Historical = var_results$varh_port,
  Parametric = var_results$varpn_port
)
portfolio_var_table %>%
    select(2) %>%
    kable(align = "c", col.names = c("VaR"), caption = "VaR Histórico portafolio a 5 años") %>%
    kable_styling()

VaR Histórico portafolio a 5 años

	VaR
10%	-17660.57
5%	-24847.48
1%	-47208.72

NA
NA

3 años

ALFA2 <- ALFA["2021-05-31/"]


rendimientos <- na.omit(Return.calculate(ALFA2), method = "log")


sd_portafolio <- apply(rendimientos, 2, sd)
cor_portafolio <- cor(rendimientos, use = "complete.obs", method = "pearson")
cov_portafolio <- diag(sd_portafolio) %*% cor_portafolio %*% diag(sd_portafolio)

weights <- c(0.06, 0.09, 0.14, 0.11, 0.14, 0.07, 0.05, 0.08, 0.08, 0.13, 0.05, 0)

volport <- sqrt(t(as.matrix(weights)) %*% cov_portafolio %*% as.matrix(weights))
rport <- rendimientos %*% as.matrix(weights)

var_results <- calculate_var(rendimientos, rport, pv = 1000000, n = 13, conf_levels = c(0.9, 0.95, 0.99), weights = weights, cov_portafolio = cov_portafolio)


varh_port <- var_results$varh_port
varh <- var_results$varh
varpn_port <- var_results$varpn_port
varpn <- var_results$varpn


#Activos

varh_tbl <- data.frame(Value = varh)

kable(varh_tbl, format = "html", col.names = c("ARCA", "AMÉRICA MÓVIL", "BIMBO", "CEMEX", "FEMSA", "INBURSA", "BANORTE", "G.MEXICO", "COCA COLA", "WALMART", "KIMBERLY", "IPC")) %>%
  kable_styling() %>% 
  add_header_above(c("VaR histórico a 3 años" = 13))

VaR histórico a 3 años
	ARCA	AMÉRICA MÓVIL	BIMBO	CEMEX	FEMSA	INBURSA	BANORTE	G.MEXICO	COCA COLA	WALMART	KIMBERLY	IPC
10%	-17983.59	-20872.93	-25868.65	-32125.34	-18964.15	-25545.86	-28673.95	-35244.42	-16568.96	-21964.14	-23493.91	-16967.82
5%	-22295.72	-28439.86	-32419.29	-42428.07	-24146.27	-33504.05	-37771.26	-45741.27	-23492.11	-27744.81	-31088.82	-21633.34
1%	-33562.36	-40178.09	-48922.96	-59171.36	-36743.37	-51690.70	-54453.63	-56068.26	-33756.69	-36207.01	-43213.41	-30476.03

# Portafolio
portfolio_var_table <- data.frame(
  "Portfolio",
  Historical = var_results$varh_port,
  Parametric = var_results$varpn_port
)
portfolio_var_table %>%
    select(2) %>%
    kable(align = "c", col.names = c("VaR"), caption = "VaR Histórico 3 años portafolio") %>%
    kable_styling()

VaR Histórico 3 años portafolio

	VaR
10%	-15595.33
5%	-22677.79
1%	-28959.80

NA
NA

1 año

ALFA2 <- ALFA["2021-05-31/"]

rendimientos <- na.omit(Return.calculate(ALFA2), method = "log")

sd_portafolio <- apply(rendimientos, 2, sd)
cor_portafolio <- cor(rendimientos, use = "complete.obs", method = "pearson")
cov_portafolio <- diag(sd_portafolio) %*% cor_portafolio %*% diag(sd_portafolio)

weights <- c(0.06, 0.09, 0.14, 0.11, 0.14, 0.07, 0.05, 0.08, 0.08, 0.13, 0.05, 0)

volport <- sqrt(t(as.matrix(weights)) %*% cov_portafolio %*% as.matrix(weights))
rport <- rendimientos %*% as.matrix(weights)

var_results <- calculate_var(rendimientos, rport, pv = 1000000, n = 13, conf_levels = c(0.9, 0.95, 0.99), weights = weights, cov_portafolio = cov_portafolio)


varh_port <- var_results$varh_port
varh <- var_results$varh
varpn_port <- var_results$varpn_port
varpn <- var_results$varpn


#Activos

varh_tbl <- data.frame(Value = varh)

kable(varh_tbl, format = "html", col.names = c("ARCA", "AMÉRICA MÓVIL", "BIMBO", "CEMEX", "FEMSA", "INBURSA", "BANORTE", "G.MEXICO", "COCA COLA", "WALMART", "KIMBERLY", "IPC")) %>%
  kable_styling() %>% 
  add_header_above(c("VaR histórico a 1 año" = 13))

VaR histórico a 1 año
	ARCA	AMÉRICA MÓVIL	BIMBO	CEMEX	FEMSA	INBURSA	BANORTE	G.MEXICO	COCA COLA	WALMART	KIMBERLY	IPC
10%	-17983.59	-20872.93	-25868.65	-32125.34	-18964.15	-25545.86	-28673.95	-35244.42	-16568.96	-21964.14	-23493.91	-16967.82
5%	-22295.72	-28439.86	-32419.29	-42428.07	-24146.27	-33504.05	-37771.26	-45741.27	-23492.11	-27744.81	-31088.82	-21633.34
1%	-33562.36	-40178.09	-48922.96	-59171.36	-36743.37	-51690.70	-54453.63	-56068.26	-33756.69	-36207.01	-43213.41	-30476.03

# Portafolio
portfolio_var_table <- data.frame(
  "Portfolio",
  Historical = var_results$varh_port,
  Parametric = var_results$varpn_port
)
portfolio_var_table %>%
    select(2) %>%
    kable(align = "c", col.names = c("VaR"), caption = "VaR histórico a 1 año portafolio") %>%
    kable_styling()

VaR histórico a 1 año portafolio

	VaR
10%	-15595.33
5%	-22677.79
1%	-28959.80

NA
NA