Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162507
Authors: 
Borke, Lukas
Year of Publication: 
2017
Series/Report no.: 
SFB 649 Discussion Paper 2017-006
Abstract: 
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".
Subjects: 
Risk Analytics
FRM
Data Analytics
Systemic Risk
Quantile Regression
Lasso
Value at Risk
Parallel and Cluster Computing
EDA
Data Visualization
JEL: 
C21
C51
G01
G18
G32
G38
Document Type: 
Working Paper
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