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qrmtools (version 0.0-4)

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

430

Version

0.0-4

License

GPL-2 | GPL-3

Maintainer

Marius Hofert

Last Published

January 15th, 2016

Functions in qrmtools (0.0-4)

Black_Scholes

Black--Scholes formula and the Greeks

GEV

Generalized Extreme Value Distribution

risk_measures

Risk Measures

VaR_bounds

Best and Worst Value-at-Risk for Given Margins

GPD

(Generalized) Pareto Distribution