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可以参考Market Risk Modeling in S-PLUS_Eric Zivot

#calculating VaR requires S-PLUS 7.0 and S+FinMetrics 2.0.

# compute log-returns

DowJones30.ret = getReturns(DowJones30)

# compute equally weighted portfolio return

w = rep(1,30)/30

port.ret.ts = rowSums(DowJones30.ret, weights=w)

#

# Extreme Value Theory

#

# compute mean excess plots for negative returns

# threshold appears to be near 0.015

par(mfrow=c(2,1))

tmp = meplot(-port.ret.ts)

shape.plot(-port.ret.ts, from=0.9, to=0.98)

par(mfrow=c(1,1))

# estimate parameters of GPD with u = 0.015

gpd.fit = gpd(-port.ret.ts, threshold=0.015)

gpd.fit

tailplot(gpd.fit)

# compute 1% VaR and ETL from fitted GPD

riskmeasures(gpd.fit, p=0.99)

gpd.q(pp=0.99, ci.p = 0.95, plot=F)

gpd.sfall(pp=0.99, ci.p = 0.95, plot=F)