GARP_FRM-package: Functions to implement the topics presented in 'Financial...

Description Details Author(s) References See Also

Description

This package provides a framework to implement the topics and ideas presented in 'Financial Risk Manager (FRM) Part 1: Quantitative Analysis' (2012) and 'Financial Risk Manager (FRM) Part 1: Foundations of Risk Management' (2012).

Details

Package: GARPFRM
Type: Package
Version: 0.1.0
Date: 2014-04-03
License: GPL

The purpose of this package is to implement the concepts and methods presented in the Global Association of Risk Professionals (GARP) Financial Risk Manager (FRM) Part I series of books. Developing the GARPFRM package is a collaborative project between the University of Washington Computational Finance & Risk Management Program and the Global Association of Risk Professionals to develop R packages that facilitate the learning of risk management concepts. The GARPFRM package provides a framework to implement the topics presented in the Financial Risk Manager (FRM) Part 1 books. The user should be able to follow along in the books and using the GARPFRM package and supporting packages.

TODO: Add stuff about GARP

TODO: Add stuff about UW-CF&RM

The current version of the package covers the majority of chapters in 'Financial Risk Manager (FRM) Part 1: Quantitative Analysis' (2012) and 'Financial Risk Manager (FRM) Part 1: Foundations of Risk Management' (2012). Due to the nature of econometrics involving time series data, nearly all functions in this package require data as an xts object and GARPFRM uses the xts package for working with time series data.

Author(s)

Ross Bennett and Thomas Fillebeen

Maintainer: Thomas Fillebeen <[email protected]>

Contributors: Mark L. Labovitz, Kirk Li, Doug Martin, Guy Yollin

References

TODO: Add references for GARP books

See Also

PerformanceAnalytics
rugarch
xts
xts
CRAN task view on Empirical Finance
http://cran.r-project.org/src/contrib/Views/Econometrics.html


GARPFRM documentation built on May 31, 2017, 3:46 a.m.