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qrmtools (version 0.0-12)

Tools for Quantitative Risk Management

Description

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.

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Version

Install

install.packages('qrmtools')

Monthly Downloads

578

Version

0.0-12

License

GPL (>= 3) | file LICENCE

Maintainer

Marius Hofert

Last Published

January 13th, 2020

Functions in qrmtools (0.0-12)

Graphical Tool for Visualizing NAs in a Data Set

Black--Scholes formula and the Greeks

Fitted GPD Shape as a Function of the Threshold

Generalized Extreme Value Distribution

Fitted GEV Shape as a Function of the Threshold

Fitting ARMA-GARCH Processes

(Generalized) Pareto Distribution

Worst and Best Value-at-Risk and Best Expected Shortfall for Given Marginals

GPD-Based Tail Distribution (POT method)

Computing allocations

Parameter Estimators of the Generalized Pareto Distribution

Parameter Estimators of the Generalized Extreme Value Distribution

Fast(er) and Numerically More Robust Fitting of GARCH(1,1) Processes

Catching Results, Warnings and Errors Simultaneously

P-P and Q-Q Plots

Computing Returns and Inverse Transformation

Plot of an Empirical Distribution Function

Formal Tests of Multivariate Normality

Tools for Getting and Working with Data

Graphical Tool for Visualizing Matrices

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