I am not an expert in Finance and Risk Management but I will suggest you to study carefully the QRM Tutorial (by A.J. McNeil, R. Frey, P. Embrechts, M. Hofert):

https://www.qrmtutorial.org/

and especially to the ''Slides'', ''R Code'' sections

there is also a corresponding folder in GitHub:

https://github.com/qrmtutorial/qrm

I hope it will be useful for you.

Hi Nikolas Martzikos ,

Thanks a lot for providing me the resource. Although it don't have explicitly what I am looking for .But I know these resources will definitely help me in future because the resource is full of Quantitative Risk Management knowledge. Thanks once again!!

Dear Saurav Kumar,

Please refer to one of my latest coauthored papers published in an A* ranked journal, European Journal of Operational Research (Attached Within):

Al Janabi, Mazin A. M., Arreola Hernandez, Jose, Berger, Theo, Khuong Nguyen, Duc, “Multivariate Dependence and Portfolio Optimization Algorithms under Illiquid Market Conditions”, European Journal of Operational Research, Vol. 259, No. 3, pp. 1121-1131, 2017. [Publisher: Elsevier, Inc.]

I hope it is useful!

Best Regards

Prof. Dr. Mazin A. M. Al Janabi

Full Professor of Finance & Banking and Financial Engineering

Tecnologico de Monterrey, EGADE Business School,

Santa Fe Campus, Mexico City, Mexico.

The best reference you can have is McNeil, A. J., Frey, R., & Embrechts, P. (2005). Quantitative risk management: Concepts, techniques and tools (Vol. 3). Princeton: Princeton university press. In chapter 7. Programming in R that measures is not a soft problem but, you can look at my last paper in Risk Management journal, Cardona, E., Mora-Valencia, A. & Velásquez-Gaviria, D. Risk Manag (2018). https://doi.org/10.1057/s41283-018-0046-z.