QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts
Version 0.4-13

Accompanying package to the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts.

AuthorBernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut] (S-Plus original (QRMlib)), Scott Ulmann [trl] (First R port as package QRMlib)
Date of publication2016-03-18 15:35:55
MaintainerBernhard Pfaff <bernhard@pfaffikus.de>
LicenseGPL (>= 2)
Version0.4-13
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("QRM")

Getting started

Package overview

Popular man pages

danish: Danish Fire Losses
equicorr: Equal Correlation Matrix
GEV: Generalized Extreme Value Distribution
hsi: Hang Seng Stock Market Index
POT: Peaks-over-Threshold Method
QRM-package: Quantitative Risk Modelling
Student: Student's t Distribution
See all...

All man pages Function index File listing

Man pages

Bidensplot: Bivariate Density Plot
cac40: CAC 40 Stock Market Index (France)
CopulaAC: Archimedean Copulae
CopulaGauss: Gauss Copula
CopulaStudent: Student's t Copula
Credit: Credit Risk Modelling
danish: Danish Fire Losses
DJ: Dow Jones 30 Stock Prices
dji: Dow Jones Index
edf: Empirical Distribution Function
eigenmeth: Make Matrix Positive Definite
equicorr: Equal Correlation Matrix
ES: Expected Shortfall
ftse100: FTSE 100 Stock Market Index
FXGBP: Sterling Exchange Rates
game: Smooth Parameter Estimation and Bootstrapping of Generalized...
game-aux: Auxiliary Functions for Extracting/Computing Results Related...
Gauss: Multivariate Gauss Distribution
GEV: Generalized Extreme Value Distribution
GHYP: Uni- and Multivariate Generalized Hyperbolic Distribution
GIG: Generalized Inverse Gaussian Distribution
GPD: Generalized Pareto Distribution
Gumbel: Gumbel Distribution
hsi: Hang Seng Stock Market Index
Kendall: Kendall's Rank Correlation
nasdaq: NASDAQ Stock Market Index
NH: Normal Inverse Gaussian and Hyperbolic Distribution
nikkei: Nikkei Stock Market Index
Pconstruct: Assemble a Correlation Matrix for ML Copula Fitting
Pdeconstruct: Disassemble a Correlation Matrix for ML Copula Fitting
PointProcess: Point Processes
POT: Peaks-over-Threshold Method
QQPlot: Generic Quantile-Quantile Plot
QRM-defunct: Defunct Functions in Package QRM
QRM-package: Quantitative Risk Modelling
smi: Swiss Market Index
sp500: Standard and Poors 500 Index
spdata: Standard and Poors Default Data
spdata.raw: Standard and Poors Default Data
Spearman: Spearman's Rank Correlation
Student: Student's t Distribution
VaRbound: Computing lower and upper bounds for the (smallest or...
xdax: Xetra DAX German Index

Functions

Files

inst
inst/TODO.org
src
src/QRM.cpp
src/RcppExports.cpp
NAMESPACE
demo
demo/00Index
demo/game.R
data
data/spdata.df.RData
data/spdata.raw.df.RData
data/nikkei.df.RData
data/DJ.df.RData
data/danish.df.RData
data/FXGBP.df.RData
data/cac40.RData
data/ftse100.RData
data/nasdaq.df.RData
data/spdata.raw.RData
data/sp500.df.RData
data/smi.RData
data/ftse100.df.RData
data/sp500.RData
data/danish.RData
data/dji.RData
data/cac40.df.RData
data/nikkei.RData
data/smi.df.RData
data/DJ.RData
data/xdax.df.RData
data/spdata.RData
data/hsi.df.RData
data/dji.df.RData
data/xdax.RData
data/nasdaq.RData
data/hsi.RData
data/FXGBP.RData
R
R/GPD.R
R/Utility.R
R/Gauss.R
R/VaRbound.R
R/Credit.R
R/CopulaGauss.R
R/PointProcess.R
R/NH.R
R/CopulaStudent.R
R/RcppExports.R
R/Student.R
R/Defunct.R
R/POT.R
R/game.R
R/GHYP.R
R/GEV.R
R/Correlations.R
R/PlotFunc.R
R/GIG.R
R/CopulaAC.R
MD5
DESCRIPTION
man
man/GIG.Rd
man/GEV.Rd
man/edf.Rd
man/DJ.Rd
man/Pdeconstruct.Rd
man/Student.Rd
man/CopulaStudent.Rd
man/FXGBP.Rd
man/NH.Rd
man/Spearman.Rd
man/CopulaAC.Rd
man/ES.Rd
man/game-aux.Rd
man/QRM-package.Rd
man/QQPlot.Rd
man/Credit.Rd
man/Pconstruct.Rd
man/eigenmeth.Rd
man/sp500.Rd
man/game.Rd
man/ftse100.Rd
man/spdata.Rd
man/nasdaq.Rd
man/dji.Rd
man/POT.Rd
man/xdax.Rd
man/danish.Rd
man/QRM-defunct.Rd
man/spdata.raw.Rd
man/equicorr.Rd
man/smi.Rd
man/nikkei.Rd
man/hsi.Rd
man/CopulaGauss.Rd
man/Bidensplot.Rd
man/VaRbound.Rd
man/PointProcess.Rd
man/cac40.Rd
man/Kendall.Rd
man/GHYP.Rd
man/Gauss.Rd
man/Gumbel.Rd
man/GPD.Rd
QRM documentation built on May 19, 2017, 10:24 p.m.

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