qrmtools v0.0-12


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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
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
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Vignettes of qrmtools

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Last month downloads


Encoding UTF-8
License GPL (>= 3) | file LICENCE
NeedsCompilation yes
VignetteBuilder knitr
Repository CRAN
Date/Publication 2020-01-13 06:20:02 UTC
Repository/R-Forge/Project qrmtools
Repository/R-Forge/Revision 259
Repository/R-Forge/DateTimeStamp 2020-01-13 04:13:57
Packaged 2020-01-13 04:46:13 UTC; rforge

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