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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)

Generalized Pareto Distribution

Assemble a Correlation Matrix for ML Copula Fitting

Dow Jones 30 Stock Prices

Uni- and Multivariate Generalized Hyperbolic Distribution

Generic Quantile-Quantile Plot

Bivariate Density Plot

Quantitative Risk Modelling

Gumbel Distribution

Standard and Poors Default Data

Generalized Inverse Gaussian Distribution

Computing lower and upper bounds for the (smallest or largest) VaR

Generalized Extreme Value Distribution

CAC 40 Stock Market Index (France)

Peaks-over-Threshold Method

Xetra DAX German Index

Spearman's Rank Correlation

Auxiliary Functions for Extracting/Computing Results Related to gamGPDfit()/gamGPDboot()

Kendall's Rank Correlation

Standard and Poors Default Data

Danish Fire Losses

Hang Seng Stock Market Index

Multivariate Gauss Distribution

Empirical Distribution Function

Dow Jones Index

Make Matrix Positive Definite

FTSE 100 Stock Market Index

Swiss Market Index

Equal Correlation Matrix

Normal Inverse Gaussian and Hyperbolic Distribution

Standard and Poors 500 Index

Archimedean Copulae

Credit Risk Modelling

Defunct Functions in Package QRM

Expected Shortfall

Sterling Exchange Rates

Point Processes

Student's t Distribution

Disassemble a Correlation Matrix for ML Copula Fitting

NASDAQ Stock Market Index

Nikkei Stock Market Index

Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood Estimation

Student's t Copula