R packages/resources for Financial Risk Management
On 10/16/2017 04:35 AM, Pankaj K Agarwal via R-SIG-Finance wrote:
Dear allCan someone suggest some good resources/package on Financial Risk Management based on R? I would like to use them for a graduate class i teach. Thanks in advance. Regards,Pankaj K Agarwal +91-98397-11444http://in.linkedin.com/in/pankajkagarwal/
For a book length survey treatment of packages for these topics, see Bernhard Pfaff's excellent 'Financial Risk Modeling and Portfolio Optimization with R, 2nd Edition'. Enrico's suggestion of the task view certainly includes 'very specialized' resources, but also includes a number of more fundamental resources, such as PerformanceAnalytics and rugarch. Regards, Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock