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QRM (version 0.4-13)

Provides R-Language Code to Examine Quantitative Risk Management Concepts

Description

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

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Version

Install

install.packages('QRM')

Monthly Downloads

1,015

Version

0.4-13

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

March 18th, 2016

Functions in QRM (0.4-13)

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