GARPFRM

GARPFRM Web Applications

Several web applications were developed to demonstrate functionality available in the GARPFRM R package. The web applications use the @rstudio shiny package and are hosted on shinyapps.io.

Value-at-Risk Backtest
Capital Asset Pricing Model
Exponentially Weighted Moving Average
Monte Carlo
Option Analysis
Performance Measures
TwoAsset Frontier
Univariate GARCH Model
Efficient Frontier

GARPFRM Package

The GARPFRM R package implements the concepts and methods presented in the Global Association of Risk Professionals (GARP) Financial Risk Manager (FRM) Part 1 series of books. Development of the GARP-FRM package is a collaborative project between the University of Washington Applied Mathematics Department MS-Degree Program in Computational Finance & Risk Management (MS-CFRM) and the Global Association of Risk Professionals to provide R computing applications that facilitate the learning of risk management concepts.

Installing the package


install.packages("GARPFRM", repos="http://R-Forge.R-project.org")

Vignettes are available for key sections to familiarize the user with the risk management concepts implemented in the package.


vignettes(package="GARPFRM")