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kartashove
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Joined: August 11th, 2015, 2:10 pm

Good R library for market risk computations?

August 18th, 2015, 8:46 am

Looking for a good R library for computations like Monte-Carlo, parametric VaR, CVaR, scenario modeling etc. Any good library that includes all of that?
Last edited by kartashove on August 17th, 2015, 10:00 pm, edited 1 time in total.
 
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Hansi
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Joined: January 25th, 2010, 11:47 am

Good R library for market risk computations?

August 18th, 2015, 9:33 am

https://cran.r-project.org/web/views/Pe ... eAnalytics is most likely where you want to start and add as needed.Although not a package and I've only had a quick look at it but many people praise this: