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 | |
| No Results! | ||
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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 |
| depends | base (>= 3.0.1) , gsl , Matrix , mvtnorm , numDeriv , R (>= 3.0.1) , timeSeries |
| imports | methods , mgcv , Rcpp (>= 0.11.1) , timeDate |
| Contributors | Bernhard Pfaff, er McNeil, Marius Hofert, Scott Ulmann |
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