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.

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

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

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