Expected Shortfall
Dow Jones 30 Stock Prices
Gauss Copula
Generalized Extreme Value Distribution
Credit Risk Modelling
Student's t Copula
Sterling Exchange Rates
Uni- and Multivariate Generalized Hyperbolic Distribution
Bivariate Density Plot
Generalized Pareto Distribution
Archimedean Copulae
Kendall's Rank Correlation
Generalized Inverse Gaussian Distribution
Computing lower and upper bounds for the (smallest or largest) VaR
Disassemble a Correlation Matrix for ML Copula Fitting
Quantitative Risk Modelling
Gumbel Distribution
Assemble a Correlation Matrix for ML Copula Fitting
Peaks-over-Threshold Method
Multivariate Gauss Distribution
Defunct Functions in Package QRM
Hang Seng Stock Market Index
Normal Inverse Gaussian and Hyperbolic Distribution
Nikkei Stock Market Index
Generic Quantile-Quantile Plot
Standard and Poors Default Data
Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot()
Equal Correlation Matrix
Dow Jones Index
Standard and Poors 500 Index
Swiss Market Index
CAC 40 Stock Market Index (France)
NASDAQ Stock Market Index
Xetra DAX German Index
Empirical Distribution Function
Student's t Distribution
Spearman's Rank Correlation
Danish Fire Losses
Standard and Poors Default Data
Make Matrix Positive Definite
FTSE 100 Stock Market Index
Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions
with Penalized Maximum Likelihood Estimation