qrmtools v0.0-12

0

0th

Percentile

Tools for Quantitative Risk Management

Functions and data sets for reproducing selected results from the book "Quantitative Risk Management: Concepts, Techniques and Tools". Furthermore, new developments and auxiliary functions for Quantitative Risk Management practice.

Functions in qrmtools

 Name Description NA_plot Graphical Tool for Visualizing NAs in a Data Set Black_Scholes Black--Scholes formula and the Greeks GPD_shape_plot Fitted GPD Shape as a Function of the Threshold GEV Generalized Extreme Value Distribution GEV_shape_plot Fitted GEV Shape as a Function of the Threshold ARMA_GARCH Fitting ARMA-GARCH Processes GPD (Generalized) Pareto Distribution VaR_ES_bounds Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals GPDtail GPD-Based Tail Distribution (POT method) alloc Computing allocations fit_GPD Parameter Estimators of the Generalized Pareto Distribution fit_GEV Parameter Estimators of the Generalized Extreme Value Distribution fit_GARCH_11 Fast(er) and Numerically More Robust Fitting of GARCH(1,1) Processes catch Catching Results, Warnings and Errors Simultaneously pp_qq_plot P-P and Q-Q Plots returns Computing Returns and Inverse Transformation edf_plot Plot of an Empirical Distribution Function tests Formal Tests of Multivariate Normality get_data Tools for Getting and Working with Data risk_measures Risk Measures matrix_plot Graphical Tool for Visualizing Matrices tail_plot Plot of an Empirical Surival Function with Smith Estimator hierarchical_matrix Construction of Hierarchical Matrices matrix_density_plota Density Plot of the Values from a Lower Triangular Matrix mean_excess Mean Excess No Results!