R packages/resources for Financial Risk Management
Thanks a lot Brian and Terry for your time. Regards,Pankaj K Agarwal +91-98397-11444http://in.linkedin.com/in/pankajkagarwal/
On Monday 16 October 2017, 7:59:16 PM IST, Terry Leitch <tleitch1 at jhu.edu> wrote:
Rupert's "Statistics and Data Analysis for Financial Engineering"? is R based. I use rugarch package in my courses. - Terry Leitch
From: R-SIG-Finance <r-sig-finance-bounces at r-project.org> on behalf of Brian G. Peterson <brian at braverock.com>
Sent: Monday, October 16, 2017 8:04:33 AM
To: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] R packages/resources for Financial Risk Management
Sent: Monday, October 16, 2017 8:04:33 AM
To: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] R packages/resources for Financial Risk Management
On Mon, 2017-10-16 at 05:43 -0500, Brian G. Peterson wrote: > 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. > I should also have mentioned McNeil, Frey, and Embrechts "Quantitative Risk Management" and the accompanying R package QRM. If you are a bit more specific about what topics you plan to cover, I am certain that the list could suggest more resources. Regards, Brian _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ??? [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.