R packages/resources for Financial Risk Management

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R packages/resources for Financial Risk Management

Rmetrics mailing list
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/
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Re: R packages/resources for Financial Risk Management

Enrico Schumann-2
Quoting Pankaj K Agarwal via R-SIG-Finance <[hidden email]>:

> Dear all Can 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/

As a starting point, you could look at the packages listed here:

     https://cran.r-project.org/web/views/Finance.html


--
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net

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Re: R packages/resources for Financial Risk Management

Rmetrics mailing list
Dear EnricoI did. The listings are very specialized and do not seem to be suitable for wide coverage of tools. Thanks anyway.
Regards,Pankaj K Agarwal
+91-98397-11444http://in.linkedin.com/in/pankajkagarwal/

    On Monday 16 October 2017, 3:19:21 PM IST, Enrico Schumann <[hidden email]> wrote:  
 
 Quoting Pankaj K Agarwal via R-SIG-Finance <[hidden email]>:

> Dear all Can 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/

As a starting point, you could look at the packages listed here:

    https://cran.r-project.org/web/views/Finance.html


--
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net


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Re: R packages/resources for Financial Risk Management

braverock
In reply to this post by Rmetrics mailing list
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

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Re: R packages/resources for Financial Risk Management

braverock
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

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Re: R packages/resources for Financial Risk Management

terry leitch
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 <[hidden email]> on behalf of Brian G. Peterson <[hidden email]>
Sent: Monday, October 16, 2017 8:04:33 AM
To: [hidden email]
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

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Re: R packages/resources for Financial Risk Management

Rmetrics mailing list
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 <[hidden email]> 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 <[hidden email]> on behalf of Brian G. Peterson <[hidden email]>
Sent: Monday, October 16, 2017 8:04:33 AM
To: [hidden email]
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

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    [[alternative HTML version deleted]]

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Re: R packages/resources for Financial Risk Management

Rmetrics mailing list
Dear RamosriskR is great. Thanks again buddy.
Regards,Pankaj K Agarwal
+91-98397-11444http://in.linkedin.com/in/pankajkagarwal/

    On Tuesday 17 October 2017, 4:23:51 PM IST, Henrique Ramos <[hidden email]> wrote:  
 
 Dear Agarwal,
You can find some historical-simulation-based calculations of risk measures on the riskR package (with the capital "R" at the end).
Regards,
 
|  | Livre de vírus. www.avast.com.  |


2017-10-17 1:27 GMT-02:00 Pankaj K Agarwal via R-SIG-Finance <[hidden email]>:

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 <[hidden email]> 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@r- project.org> on behalf of Brian G. Peterson <[hidden email]>
Sent: Monday, October 16, 2017 8:04:33 AM
To: [hidden email]
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

______________________________ _________________
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-- Also note that this is not the r-help list where general R questions should go.

    [[alternative HTML version deleted]]

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        [[alternative HTML version deleted]]

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--
--
Henrique P. Ramos


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