qrmtools v0.0-6

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by Marius Hofert

Tools for Quantitative Risk Management

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.

Functions in qrmtools

Name Description
plot_matrix Graphical Tool for Visualizing Matrices
GPD (Generalized) Pareto Distribution
returns Compute Log-Returns or the Inverse Transformation
get_data Tools for Getting and Working with Data
catch Catching Results, Warnings and Errors Simultaneously
ARMA_GARCH Fitting ARMA-GARCH Processes
Black_Scholes Black--Scholes formula and the Greeks
plot_NA Graphical Tool for Visualizing NAs in a Data Set
GEV Generalized Extreme Value Distribution
density_plot_matrix Density Plot of the Values from a Lower Triangular Matrix
risk_measures Risk Measures
VaR_bounds Best and Worst Value-at-Risk for Given Margins
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Encoding UTF-8
License GPL-2 | GPL-3
NeedsCompilation yes
VignetteBuilder knitr
Repository CRAN
Date/Publication 2016-05-29 21:14:06
Packaged 2016-05-29 15:24:59 UTC; mhofert

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