[R-SIG-Finance] R packages/resources for Financial Risk Management

[Pankaj K Agarwal]

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

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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