[R-SIG-Finance] Vasicek,CIR or RiskMetrics

babel at centrum.sk babel at centrum.sk
Thu Apr 7 18:32:32 CEST 2011

Hello researchers

Do you have some experience with risk measurement by Vasicek, CIR models or geometric Brownian distribution? Are there any R packages supporting these models?  
I found these 2 links, that are quite helpful 

and I also searched ??? in R, but found only simulations.

I would like to model few currency pairs by mentioned models and consequently their future influence on costs, revenues and sales. Or can you point off some better techniques,solutions or references for modeling corporate risk  in R?
Thank you very much.

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