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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

12,511

Version

0.0-12

License

GPL (>= 3) | file LICENCE

Maintainer

Marius Hofert

Last Published

January 13th, 2020

Functions in qrmtools (0.0-12)

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