[R-SIG-Finance] R / Risk measurement and the problem of data

[ngottlieb at marinercapital.com]

The issue to your questions is:

1- What type of instruments do you trade? 
2- In terms of risk management are you looking to:
   a) Track a benchmark and weight positions according (Portfolio Optimization).
   B) Look at attribution by industries, sectors, primary factors as interest rates, etc(Style Analysis)?
   C) Stress test your positions?

R can provide a lot of the analytics you need. The data is another issue.

Yes Bloomberg is very helpful but expensive (approx $14K per year per seat).

Barra now owned by Morgan Stanley is more equity focused but has been
Doing some fixed instrument support.

Depending on answers to above questions, suggest as alternative to Barra
Look at Northfield Information Systems (think the site is http://www.northinfo.com)
They offer some fine risk analytics, the data needed and software.

Last, one of the some of the most difficult instruments to model and get data on
Are Credit Default Swaps (look at http://www.markit.com).

Interest Rate Swaps are also difficult to model and get data on. Might try looking 
At http://www.tradeweb.com


Last, if you want to maintain your own Security Master you will obviously
Need a Database Product such as SQL Server, Oracle, Sybase.

And one of your best sources to find needed products for data sources, applications is check out
Bob's Guide (http://www.bobsguide.com/).

You are definitely looking at mid to high 6 figure budget for a good
Risk reporting system, not including, developers.

Hope this helps...
Neil

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Fabrice McShort
Sent: Wednesday, June 20, 2007 2:32 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] R / Risk measurement and the problem of data
Importance: High




Dear Experts,I come back to you for one question. We decided to use R Project for our risk management (reporting) system. Because, our funds use derivative instruments, we will need to use many packages such as 'Performance Analytics Package' 'VaR package' 'fOptions package', etc.So, my question is what type of database we will need? Bloomberg data, Bara data, Datastream, etc. Other point: Is the system (R) is able to use these principal sources of data? This problem is very important in order to have a good estimation of the final cost of the system! I will be happy to have your opinions about this point.Thanks!Fabrice _________________________________________________________________
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