QRM v0.4-31

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Provides R-Language Code to Examine Quantitative Risk Management Concepts

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

Functions in QRM

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

Date 2020-02-15
LinkingTo Rcpp
LazyData Yes
License GPL (>= 2)
Encoding UTF-8
NeedsCompilation yes
Repository CRAN
Repository/R-Forge/Project qrm
Repository/R-Forge/Revision 105
Repository/R-Forge/DateTimeStamp 2020-01-27 21:36:47
Date/Publication 2020-02-15 23:00:02 UTC
Packaged 2020-02-15 21:25:47 UTC; bp

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