In order to integrate and facilitate the research, calculation and analysis methods
around the Financial Risk Meter (FRM) project, the R package RiskAnalytics has
been developed. Its main goal is to provide data processing and parallelized quantile
lasso regression methods for risk analysis based on NASDAQ data, Yahoo Finance
data and some macro variables. The derived “Risk Analytics” can help to forecast
and evaluate the systemic risk for the corresponding markets. The visualization
and the up-to-date FRM can be found on http://frm.wiwi.hu-berlin.de. Supplementary
R codes are published on www.quantlet.de with the keyword FRM.
The RiskAnalytics package is a convenient tool with the purpose of integrating
lasso penalized quantile regression methods with full solution paths and cluster
computing support around the topic “Risk Analytics and FRM”.
Risk Analytics, FRM, Data Analytics, Systemic Risk, Quantile Regression,
Lasso, Value at Risk, Parallel and Cluster Computing, EDA, Data Visualization