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

[guillaume.nicoulaud at halbis.com]

Hi Fabrice

It depends if you mean to store the data you use in a proprietary databse or not. If not, I would recommend Bloomberg (although it clearly is expensive) as it is the only source you can directly connect to R (with RBloomberg). I never saw
any equivalent with Datastream or Barra.
Yet, I would follow Brian and recommend you to create your own database (which may potentially use several sources) and work from this point R (using the RODBC package): not only the odds are it will be much cheaper but it will also be much
faster...

G




                                                                                                                                   
                                                                                                                                   
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                                                        Objet :  [R-SIG-Finance] R / Risk measurement and the problem of data      
             Fabrice McShort                                                                                                       
             <fabricemcshort at hotmail.com>                                                                                          
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             r-sig-finance-bounces at stat.math.ethz.                                                                                 
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             20/06/2007 08:32                                                                                                      
                                                                                                                                   
                                                                                                                                   







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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