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qrmtools (version 0.0-6)

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

651

Version

0.0-6

License

GPL-2 | GPL-3

Maintainer

Marius Hofert

Last Published

May 29th, 2016

Functions in qrmtools (0.0-6)

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