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qrmtools (version 0.0-13)

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

0.0-13

License

GPL (>= 3) | file LICENCE

Maintainer

Marius Hofert

Last Published

April 19th, 2020

Functions in qrmtools (0.0-13)

Generalized Extreme Value Distribution

(Generalized) Pareto Distribution

Fitting ARMA-GARCH Processes

Black--Scholes formula and the Greeks

GPD-Based Tail Distribution (POT method)

VaR_ES_bounds_analytical

``Analytical'' Best and Worst Value-at-Risk for Given Marginals

VaR_ES_bounds_rearrange

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

Tools for Getting and Working with Data

Graphical Tool for Visualizing NAs in a Data Set

Fitted GEV Shape as a Function of the Threshold

Computing allocations

Plot of an Empirical Distribution Function

Fitted GPD Shape as a Function of the Threshold

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

Catching Results, Warnings and Errors Simultaneously

Parameter Estimators of the Generalized Extreme Value Distribution

Parameter Estimators of the Generalized Pareto Distribution

Graphical Tool for Visualizing Matrices

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

Formal Tests of Multivariate Normality

P-P and Q-Q Plots

Computing Returns and Inverse Transformation