August 13, 2010

(This article was first published on stotastic » R, and kindly contributed to R-bloggers)

After a month of on-again, off-again coding, I’ve finally completed a web site geared towards calculating the Value at Risk of the average investor’s portfolio. The site is The big idea was to combine the statistical and visualization tools of R (especially ggplot2) with the web interface of Drupal. While I’m happy with the results, I think this may only be the tip of the iceberg in mashing up these technologies. As a side note, I took a bit of a shortcut and I don’t actually have R running directly on the web server, which means I had to settle for ‘overnight’ calculations rather than ‘On-Demand’. But I still think it is a good proof of concept for combing Drupal with R.

Some Examples

For all the data lovers out there, below are some of my favorite visualizations that visualVaR produces using the users inputted portfolio. This one showing the rank correlation between the daily returns of the stocks in a portfolio (obviously the higher the dependency between two stocks, the greater the VaR).

And this one showing the 4 years of daily returns (the amount of data used in the VaR model) for a single stock in a portfolio, BP in the case.

I was a little hesitant to turn the site loose on the web, but I figured it would be best to just ’see what happens’. Please feel free to try it out, just cross your fingers that the server holds!

To leave a comment for the author, please follow the link and comment on their blog: stotastic » R. offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Tags: , , , ,

Comments are closed.


Mango solutions

RStudio homepage

Zero Inflated Models and Generalized Linear Mixed Models with R

Quantide: statistical consulting and training


CRC R books series

Contact us if you wish to help support R-bloggers, and place your banner here.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)