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

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

Author
Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut] (S-Plus original (QRMlib)), Scott Ulmann [trl] (First R port as package QRMlib)
Date of publication
2016-03-18 15:35:55
Maintainer
Bernhard Pfaff <bernhard@pfaffikus.de>
License
GPL (>= 2)
Version
0.4-13

View on CRAN

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

Files in this package

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