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High-Performance Risk Analysis with Revolution R

Revolution R Enterprise

Revolution R Enterprise is a commercially supported distribution of the open-source R language that is based on the popular open-source data analysis and statistics language, R. The R language is increasingly popular among those needing to execute data-intensive quantitative and risk analysis.

Because R originated as a data analysis language, it is ideal for use with a range of financial data. Several open-source packages for financial computation exist. There are also various applications for tasks including risk modeling and econometrics.

In this paper, we focus on the performance benchmarking package CreditMetrics by Andreas Wittmann.

Data volume and complexity often force developers to restrict their use of high-level languages, including R, to the prototyping phase. They typically use lower-level languages for production work. However, those algorithms constructed using languages such as C, C++, Fortran, and Java are typically slower to deploy, expensive to create, and more error-prone.

Revolution R Enterprise, built with the Intel(r) Math Kernel Library, provides optimized algorithms and tools for high-performance enterprise computing. It reduces a programmer's reliance on conventional programming languages, thus improving the developer's productivity and accelerating the code-deployment cycle.