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qrmtools (version 0.0-14)

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

0.0-14

License

GPL (>= 3) | file LICENCE

Maintainer

Marius Hofert

Last Published

April 16th, 2021

Functions in qrmtools (0.0-14)

GPD-Based Tail Distribution (POT method)

Black--Scholes formula and the Greeks

Graphical Tool for Visualizing NAs in a Data Set

VaR_ES_bounds_analytical

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

Fitting ARMA-GARCH Processes

(Generalized) Pareto Distribution

Fitted GEV Shape as a Function of the Threshold

Generalized Extreme Value Distribution

Brownian and Related Motions

Fitted GPD Shape as a Function of the Threshold

Tools for Getting and Working with Data

hierarchical_matrix

Construction of Hierarchical Matrices

Parameter Estimators of the Generalized Pareto Distribution

Parameter Estimators of the Generalized Extreme Value Distribution

matrix_density_plota

Density Plot of the Values from a Lower Triangular Matrix

Graphical Tool for Visualizing Matrices

Plot of an Empirical Surival Function with Smith Estimator

Formal Tests of Multivariate Normality

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

Catching Results, Warnings and Errors Simultaneously

Plot of Step Functions and Empirical Distribution Functions

P-P and Q-Q Plots

Computing Returns and Inverse Transformation

Computing allocations

VaR_ES_bounds_rearrange

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