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qrmtools (version 0.0-16)

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

0.0-16

License

GPL (>= 3) | file LICENCE

Maintainer

Marius Hofert

Last Published

August 12th, 2022

Functions in qrmtools (0.0-16)

Black_Scholes

Black--Scholes formula and the Greeks
NA_plot

Graphical Tool for Visualizing NAs in a Data Set
GPD

(Generalized) Pareto Distribution
GPDtail

GPD-Based Tail Distribution (POT method)
GEV

Generalized Extreme Value Distribution
VaR_ES_bounds_analytical

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

Hill Estimator and Plot
Brownian

Brownian and Related Motions
GPD_shape_plot

Fitted GPD Shape as a Function of the Threshold
GEV_shape_plot

Fitted GEV Shape as a Function of the Threshold
fit_GARCH_11

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

Parameter Estimators of the Generalized Extreme Value Distribution
alloc

Computing allocations
VaR_ES_bounds_rearrange

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

Catching Results, Warnings and Errors Simultaneously
fit_ARMA_GARCH

Fitting ARMA-GARCH Processes
hierarchical_matrix

Construction of Hierarchical Matrices
matrix_density_plota

Density Plot of the Values from a Lower Triangular Matrix
mean_excess

Mean Excess
matrix_plot

Graphical Tool for Visualizing Matrices
get_data

Tools for Getting and Working with Data
tail_plot

Plot of an Empirical Surival Function with Smith Estimator
fit_GPD

Parameter Estimators of the Generalized Pareto Distribution
tests

Formal Tests of Multivariate Normality
step_plot

Plot of Step Functions, Empirical Distribution and Quantile Functions
risk_measures

Risk Measures
returns

Computing Returns and Inverse Transformation
pp_qq_plot

P-P and Q-Q Plots