Learn R Programming

⚠️There's a newer version (0.0-17) of this package.Take me there.

qrmtools (version 0.0-15)

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.

Copy Link

Version

Install

install.packages('qrmtools')

Monthly Downloads

746

Version

0.0-15

License

GPL (>= 3) | file LICENCE

Maintainer

Last Published

May 31st, 2022

Functions in qrmtools (0.0-15)

GPD-Based Tail Distribution (POT method)

Hill Estimator and Plot

Fitted GEV Shape as a Function of the Threshold

matrix_density_plota

Density Plot of the Values from a Lower Triangular Matrix

Parameter Estimators of the Generalized Pareto Distribution

hierarchical_matrix

Construction of Hierarchical Matrices

Graphical Tool for Visualizing NAs in a Data Set

Catching Results, Warnings and Errors Simultaneously

Generalized Extreme Value Distribution

VaR_ES_bounds_analytical

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

Fitting ARMA-GARCH Processes

Tools for Getting and Working with Data

Plot of an Empirical Surival Function with Smith Estimator

Computing Returns and Inverse Transformation

VaR_ES_bounds_rearrange

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

P-P and Q-Q Plots

Computing allocations

Formal Tests of Multivariate Normality

Plot of Step Functions, Empirical Distribution and Quantile Functions

Graphical Tool for Visualizing Matrices

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

(Generalized) Pareto Distribution

Parameter Estimators of the Generalized Extreme Value Distribution

Fitted GPD Shape as a Function of the Threshold

Black--Scholes formula and the Greeks

Brownian and Related Motions