QRM v0.4-13

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Provides R-Language Code to Examine Quantitative Risk Management Concepts

Accompanying package to the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts.

Functions in QRM

Name Description
GPD Generalized Pareto Distribution
Pconstruct Assemble a Correlation Matrix for ML Copula Fitting
DJ Dow Jones 30 Stock Prices
GHYP Uni- and Multivariate Generalized Hyperbolic Distribution
QQplot Generic Quantile-Quantile Plot
BiDensPlot Bivariate Density Plot
QRM-package Quantitative Risk Modelling
Gumbel Gumbel Distribution
spdata Standard and Poors Default Data
GIG Generalized Inverse Gaussian Distribution
VaRbound Computing lower and upper bounds for the (smallest or largest) VaR
GEV Generalized Extreme Value Distribution
cac40 CAC 40 Stock Market Index (France)
POT Peaks-over-Threshold Method
xdax Xetra DAX German Index
Spearman Spearman's Rank Correlation
game-aux Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot()
Kendall Kendall's Rank Correlation
spdata.raw Standard and Poors Default Data
danish Danish Fire Losses
hsi Hang Seng Stock Market Index
Gauss Multivariate Gauss Distribution
edf Empirical Distribution Function
dji Dow Jones Index
eigenmeth Make Matrix Positive Definite
ftse100 FTSE 100 Stock Market Index
smi Swiss Market Index
equicorr Equal Correlation Matrix
NH Normal Inverse Gaussian and Hyperbolic Distribution
sp500 Standard and Poors 500 Index
CopulaAC Archimedean Copulae
Credit Credit Risk Modelling
QRM-defunct Defunct Functions in Package QRM
ES Expected Shortfall
FXGBP.RAW Sterling Exchange Rates
PointProcess Point Processes
Student Student's t Distribution
Pdeconstruct Disassemble a Correlation Matrix for ML Copula Fitting
nasdaq NASDAQ Stock Market Index
nikkei Nikkei Stock Market Index
CopulaGauss Gauss Copula
game Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood Estimation
CopulaStudent Student's t Copula
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Details

Date 2016-03-17
LinkingTo Rcpp
LazyData Yes
License GPL (>= 2)
Encoding UTF-8
Repository CRAN
Repository/R-Forge/Project qrm
Repository/R-Forge/Revision 96
Repository/R-Forge/DateTimeStamp 2016-03-17 21:50:26
Date/Publication 2016-03-18 15:35:55
NeedsCompilation yes
Packaged 2016-03-17 22:05:28 UTC; rforge

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