qrmtools v0.0-6
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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 | |
| No Results! | ||
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Details
| 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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