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qrmtools (version 0.0-17)

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

633

Version

0.0-17

License

GPL (>= 3) | file LICENCE

Maintainer

Last Published

March 4th, 2024

Functions in qrmtools (0.0-17)

VaR_ES_bounds_analytical

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

GPD-Based Tail Distribution (POT method)

Black--Scholes formula and the Greeks

(Generalized) Pareto Distribution

Hill Estimator and Plot

Graphical Tool for Visualizing NAs in a Data Set

Fitted GEV Shape as a Function of the Threshold

Fitted GPD Shape as a Function of the Threshold

hierarchical_matrix

Construction of Hierarchical Matrices

matrix_density_plota

Density Plot of the Values from a Lower Triangular Matrix

Computing allocations

Fitting ARMA-GARCH Processes

Catching Results, Warnings and Errors Simultaneously

Tools for Getting and Working with Data

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

Parameter Estimators of the Generalized Pareto Distribution

VaR_ES_bounds_rearrange

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

Parameter Estimators of the Generalized Extreme Value Distribution

Plot of an Empirical Surival Function with Smith Estimator

P-P and Q-Q Plots

Computing Returns and Inverse Transformation

Plot of Step Functions, Empirical Distribution and Quantile Functions

Graphical Tool for Visualizing Matrices

Formal Tests of Multivariate Normality

Generalized Extreme Value Distribution

Brownian and Related Motions