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

Functions

aggregateMonthlySeries Man page
aggregateQuarterlySeries Man page
aggregateSignalSeries Man page
aggregateWeeklySeries Man page
besselM3 Man page
BiDensPlot Man page
cac40 Man page
cac40.df Man page
cal.beta Man page
cal.claytonmix Man page
cal.probitnorm Man page
ConvertDFToTimeSeries Man page
CopulaStudent Man page
CovToCor Man page
Credit Man page
danish Man page
danish.df Man page
dclaytonmix Man page
dcopula.AC Man page
dcopula.clayton Man page
dcopula.gauss Man page
dcopula.gumbel Man page
dcopula.t Man page
dGEV Man page
dghyp Man page
dghypB Man page
dGPD Man page
dGumbel Man page
DJ Man page
DJ.df Man page
dji Man page
dji.df Man page
dmghyp Man page
dmnorm Man page
dmt Man page
dprobitnorm Man page
dsmghyp Man page
edf Man page
EGIG Man page
eigenmeth Man page
ElogGIG Man page
EMupdate Man page
equicorr Man page
ES Man page
ESnorm Man page
ESst Man page
extremalPP Man page
findthreshold Man page
fit.AC Man page
fit.Archcopula2d Man page
fit.binomial Man page
fit.binomialBeta Man page
fit.binomialLogitnorm Man page
fit.binomialProbitnorm Man page
fit.gausscopula Man page
fit.GEV Man page
fit.GPD Man page
fit.GPDb Man page
fit.mNH Man page
fit.mst Man page
fit.NH Man page
fit.norm Man page
fit.POT Man page
fit.seMPP Man page
fit.sePP Man page
fit.st Man page
fit.tcopula Man page
fit.tcopula.rank Man page
ftse100 Man page
ftse100.df Man page
FXGBP Man page
FXGBP.df Man page
gamGPDboot Man page
gamGPDfit Man page
gam.predict Man page
Gauss Man page
get.gam.fit Man page
get.GPD.fit Man page
GEV Man page
GIG Man page
GPD Man page
GPD.predict Man page
hessb Man page
hill Man page
hillPlot Man page
hsi Man page
hsi.df Man page
jointnormalTest Man page
Kendall Man page
kurtosisSPlus Man page
lbeta Man page
MardiaTest Man page
MCECM.Qfunc Man page
MCECMupdate Man page
MEplot Man page
mk.returns Man page
momest Man page
nasdaq Man page
nasdaq.df Man page
NH Man page
nikkei Man page
nikkei.df Man page
pclaytonmix Man page
Pconstruct Man page
Pdeconstruct Man page
pGEV Man page
pGPD Man page
pGumbel Man page
plotFittedGPDvsEmpiricalExcesses Man page
plot.MPP Man page
plotMultiTS Man page
plot.PP Man page
plot.sePP Man page
plotTail Man page
PointProcess Man page
POT Man page
pprobitnorm Man page
psifunc Man page
qGEV Man page
qGPD Man page
qGumbel Man page
QQplot Man page
QRM-defunct Man page
QRM-package Man page
qst Man page
rAC Man page
rACp Man page
rBB9Mix Man page
rbinomial.mixture Man page
rclaytonmix Man page
rcopula.clayton Man page
rcopula.frank Man page
rcopula.gauss Man page
rcopula.gumbel Man page
rcopula.Gumbel2Gp Man page
rcopula.GumbelNested Man page
rcopula.t Man page
rfrank Man page
rFrankMix Man page
rGEV Man page
rghyp Man page
rghypB Man page
rgig Man page
rGIG Man page
rGPD Man page
rGumbel Man page
risk.measure Man page
RiskMeasures Man page
rlogitnorm Man page
rmghyp Man page
rmnorm Man page
rmt Man page
rprobitnorm Man page
rstable Man page
rtcopulamix Man page
seMPP.negloglik Man page
sePP.negloglik Man page
SEprocExciteFunc Man page
showRM Man page
signalSeries Man page
smi Man page
smi.df Man page
sp500 Man page
sp500.df Man page
spdata Man page
spdata.df Man page
spdata.raw Man page
spdata.raw.df Man page
Spearman Man page
stationary.sePP Man page
Student Man page
symmetrize Man page
unmark Man page
VaRbound Man page
volfunction Man page
xdax Man page
xdax.df Man page
xiplot Man page

Files

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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