GSoC/GCI Archive
Google Summer of Code 2015 R Project for Statistical Computing

Convert Kevin Dowd's Matlab code from 'Measuring Market Risk'

by Dinesh for R Project for Statistical Computing

Risk Analysis is integral part of portfolio management and it is widely used by researchers, students and practitioners alike. We aim to convert the Dowd’s MATLAB code for measurement and visualization of market risk to R and package it for distribution. Considering the wider use of R compared to MATLAB for statistical analysis, thousands of users will benefit from this. Expanding PerformanceAnalytics package with functions from the MATLAB toolbox will benefit a equally large user base.