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QRM (version 0.4-20)

Provides R-Language Code to Examine Quantitative Risk Management Concepts

Description

Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey, and Paul Embrechts.

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Version

Install

install.packages('QRM')

Monthly Downloads

1,110

Version

0.4-20

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

January 28th, 2020

Functions in QRM (0.4-20)

Multivariate Gauss Distribution

Assemble a Correlation Matrix for ML Copula Fitting

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

Student's t Distribution

Hang Seng Stock Market Index

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

Empirical Distribution Function

Gumbel Distribution

Dow Jones Index

Swiss Market Index

Expected Shortfall

Standard and Poors 500 Index

Sterling Exchange Rates

CAC 40 Stock Market Index (France)

Generalized Inverse Gaussian Distribution

Generalized Pareto Distribution

Credit Risk Modelling

Danish Fire Losses

Dow Jones 30 Stock Prices

Nikkei Stock Market Index

Xetra DAX German Index

NASDAQ Stock Market Index

Point Processes

Defunct Functions in Package QRM

FTSE 100 Stock Market Index

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

Disassemble a Correlation Matrix for ML Copula Fitting

Generic Quantile-Quantile Plot

Uni- and Multivariate Generalized Hyperbolic Distribution

Generalized Extreme Value Distribution

Kendall's Rank Correlation

Quantitative Risk Modelling

Make Matrix Positive Definite

Normal Inverse Gaussian and Hyperbolic Distribution

Equal Correlation Matrix

Spearman's Rank Correlation

Standard and Poors Default Data

Standard and Poors Default Data

Bivariate Density Plot

Archimedean Copulae

Student's t Copula

Peaks-over-Threshold Method