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QRM (version 0.4-7)

Provides R-language code to examine Quantitative Risk Management concepts

Description

This package is designed 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

0.4-7

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

April 28th, 2012

Functions in QRM (0.4-7)

Peaks-over-Threshold Method

Empirical Distribution Function

Student's t Copula

Disassemble a Correlation Matrix for ML Copula Fitting

Bivariate Density Plot

Quantitative Risk Modelling

Archimedean Copulae

Generalized Extreme Value Distribution

Sterling Exchange Rates

Xetra DAX German Index

Dow Jones 30 Stock Prices

Assemble a Correlation Matrix for ML Copula Fitting

Generalized Pareto Distribution

Generalized Inverse Gaussian Distribution

Standard and Poors 500 Index

Hang Seng Stock Market Index

NASDAQ Stock Market Index

Normal Inverse Gaussian and Hyperbolic Distribution

Point Processes

Standard and Poors Default Data

Multivariate Gauss Distribution

Nikkei Stock Market Index

Spearman's Rank Correlation

Dow Jones Index

Standard and Poors Default Data

Swiss Market Index

Make Matrix Positive Definite

Expected Shortfall

Uni- and Multivariate Generalized Hyperbolic Distribution

Generic Quantile-Quantile Plot

Danish Fire Losses

Gumbel Distribution

Credit Risk Modelling

FTSE 100 Stock Market Index

Kendall's Rank Correlation

Student's t Distribution

CAC 40 Stock Market Index (France)

Equal Correlation Matrix

Defunct Functions in Package QRM